Forecasting Dollar/Ruble Exchange Rates Using its Decomposition into Several Stochastic Flows

Student: Zaitsev Egor

Educational Programme: Applied Mathematics and Information Science (Bachelor)

Final Grade: 8

Year of Graduation: 2020

This work is devoted to the problem of applying the SSA algorithm in the problem of forecasting the exchange rate of the dollar/ruble currency pair. It considers the parameters and the specification of the algorithm that are most suitable for the most accurate prediction of the price of a currency in the short term. Also, the traditional machine learning models approach to the time series prediction problem is tested. The study shows that thorough analysis and correctly selected configuration of the SSA algorithm can help to predict the exchange rate more accurately. This allows to make more profits in the process of trading, in particular. The obtained results can be used both for the benefit of a single person and for the benefit of any company when planning the future.

Full text (added May 20, 2020)

Student Theses at HSE must be completed in accordance with the University Rules and regulations specified by each educational programme.

Summaries of all theses must be published and made freely available on the HSE website.

The full text of a thesis can be published in open access on the HSE website only if the authoring student (copyright holder) agrees, or, if the thesis was written by a team of students, if all the co-authors (copyright holders) agree. After a thesis is published on the HSE website, it obtains the status of an online publication.

Student theses are objects of copyright and their use is subject to limitations in accordance with the Russian Federation’s law on intellectual property.

In the event that a thesis is quoted or otherwise used, reference to the author’s name and the source of quotation is required.

Search all student theses