Forecasting EUR/USD Exchange Rates Using its Decomposition into Several Stochastic Flows

Student: Shastina Yekaterina

Educational Programme: Economics (Bachelor)

Year of Graduation: 2021

In this paper, the values of the euro/dollar exchange rate will be predicted using the singular spectral analysis (SSA) method. And then the use of the basic statistical model - ARIMA-will be investigated. The paper will present a comparison of two methods of time series forecasting. The first is a method using only the ARIMA model, and in the second method, before using the ARIMA method, you will need to decompose the original time series into several different, non-correlating components. As a result, these two methods will be correlated, and a strategy will be proposed that allows investors to trade on the exchange.

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