FINC3011
同步拓展
TUTOR:IRIS
全球累计服务用户超十万
Tutor照片
1.UQ 本科，Bachelor of Commerce, Major Finance, All FINM/ECON
courses GPA 7/7，每学期都荣获Dean Commendation for Academic
Excellence, 毕业时荣登Dean Honor Roll
2.USYD研究生：Master of Commerce 商业分析+金融双专业，Business
School International Scholarship Award 奖学金得主，BGS学术荣誉金牌，
总分商学院第一
3.现在在读PHD：研究方向是Applied Finance
4.在HD教授过多门Finance科目。包括international Finance、Asset
Pricing，Banking，Corporate Finance等，学生分数都很高~
5.教学深入浅出，条理清楚，擅长总结计算题背后逻辑以及理论部分重要
6.悉尼IT咨询公司顾问，悉尼投行分析师，HSBC总部的Business Analyst，
开云集团Financial Analyst
7.4年+教学经验，累计授课时长200h+h，累计辅导学生300+
8.班级整体通过率近100%
考点精讲
重要程度：
难易程度：
Format
IMPORTANT INFORMATION
- The written report should be no more than 10 A4 pages, 1.5 line spacing and size 11 Arial Font.
Please number the pages of your report. Use margins of at least 2.54 cm (1 inch).
- All assignments must include a list of references in academic form using the APA 7th method.
- The report must be submitted as a .pdf document. The Excel spreadsheet must be submitted as
a .xlsx workbook. The Excel spreadsheet should contain all the calculations used to generate the
values in your report. The Excel spreadsheet will not be explicitly graded but must be submitted at
the same time as the report to verify your calculations.
- The group leader must submit two files electronically. Failure to submit both files will result in
penalties - late penalties will apply until both files are submitted. They also need to ensure that all
files submitted can be opened and read in Canvas.
重要程度：
难易程度：
Background
Doowon is a venturesome engineer who is your close friend and also a golf buddy of yours. You were
invited to the New Year party that Doowon hosted on 1.Jan.2023. Doowon and his partner have
planned to travel around the world. While they were busy planning the details of the trip Doowon
had asked you to help out with preparing for the travel. When Doowon heard that you had enrolled
in the 'International Financial Management' unit at USyd, he suggested a bet on whether you would
be able to guess the spot AUD/GBP exchange rate until Doowon returns at the end of March 2023.
To win the bet Doowon has offered prediction criteria you must meet in order to win the bet:
重要程度：
难易程度：
要求
1. You are asked to setup at least two regression-based prediction models for estimating the exchange rate at the end of the
first quarter of 2023. Note: The group must compare the multiple models and find the best-fitting prediction model to present
to Doowon.
2. A total of 8 predictions should be made to test the validity of your prediction model. The predictions are for the exchange
rates at the last day of each quarter made at the start of each quarter.
3. The prediction of the exchange rate must be made by using market data available one quarter (3 months) prior to the
quarter you are trying to predict. For example, if you are predicting the exchange rate for the first quarter of 2021 you can
only use data available until the last day of the previous quarter (fourth quarter of 2020).
4. The 8 prediction of the exchange rate starts from the first quarter of 2021 till the fourth quarter of 2022.
5. A minimum of two independent variables are required in each of the prediction model. You must provide appropriate
justification of the theory or evidence for the need of each variable.
6. Using the best performing model of choice, make a final prediction of what the S(AUD/GBP) will be on the 31st of March,
2023. The estimation error must be less than 1% for the exchange rate for you to win the bet. (Note: whether you win or lose
the bet is not a marked item.)
重要程度：
难易程度：
背景
You decided that the bet with Doowon was a good opportunity to try predicting the future exchange rates and implement a
speculative strategy. At the start of the first quarter of 2023 (2 Jan 2023), you checked the current FX quotes for the spot and
forward rates for the two exchange rates. The quotes were as below
重要程度：
难易程度：
背景
After using your prediction model, you decided that a thorough investigation to test the efficiency of the FX market can be
conducted.
With your current credit rating you can borrow up to £ 1 million Pounds Sterling (GBP) or the equivalent amount at today’s
spot in AUD. The spread over the risk-free rates for each of the countries are as below
重要程度：
难易程度：
Questions
Required: Questions to answer
In your report you are to provide information of the following:
1. Explain the prediction model(s) you have established. Explain how you collected the data for the models and what issues
you faced in selecting the data.
2. Provide 8 predictions for the AUD/GBP spot exchange rates calculated from your two models from the first quarter of 2021
till the last quarter of 2022.
3. Compare your predictions with the actual AUD/GBP spot exchange rate. Reflect on your forecasting model by evaluating the
performance of the prediction models. Did you win the bet?
4. Discuss how you can improve the predictability of your models.
5. Using the forecasted spot exchange rate from your prediction model and the FX quotes from table 1 and 2, propose a
speculative strategy in the FX market. If there is no speculative profit that can be made, explain why there
was a limit to the profitability.
6. Can you find any patterns using technical analysis in the AUD/GBP exchange rates during the first quarter of 2023?
重要程度：
难易程度：
Questions
重要程度：
难易程度：
找数据
Doowon is a venturesome engineer who is your close friend and also a golf buddy of yours. You were
invited to the New Year party that Doowon hosted on 1.Jan.2023. Doowon and his partner have planned
to travel around the world. While they were busy planning the details of the trip Doowon had asked you to
help out with preparing for the travel. When Doowon heard that you had enrolled in the 'International
Financial Management' unit at USyd, he suggested a bet on whether you would be able to guess the spot
AUD/GBP exchange rate until Doowon returns at the end of March 2023.
To win the bet Doowon has offered prediction criteria you must meet in order to win the bet:
背景解析：
他参加party是1.1.2023，所以你只能用1.1.2023之前的数据。
文中并没有规定是数据是多长时间的，大家可以自行决定。
Historical spot exchange rates for AUD/GBP & AUD/CAD can be found in the following link:
http://www.rba.gov.au/statistics/historical-data.html#exchange-rates
重要程度：
难易程度：
Q1
Explain the prediction model(s) you have established. Explain how you collected the data for the models
and what issues you faced in selecting the data.
Step 1 先去找变量，并解释怎么找到这些数据的
重要程度：
难易程度：
Q1 知识点回顾
Fundamental exchange rate forecasting
- Links exchange rates to fundamental macroeconomic variables such as, money supplies, inflation
rates, GDP growth rates, productivity growth rates, current account balance etc. These economic
fundamentals used in formal econometric models and or through judgmental analysis
- Econometric relationship between dependent variable (exchange rate) and independent variables
(fundamentals) is specified as below:
重要程度：
难易程度：
Q1
Money Supply
Cash Rate Target | RBA
在引用的时候记得说明你的假设，比方说：假设实际cash rate就是他的target
Inflation Rate
World Development Indicators | DataBank (worldbank.org)
Consumer Price Index, Australia, March Quarter 2023 | Australian Bureau of Statistics (abs.gov.au)
重要程度：
难易程度：
Q1
GDP growth rates
World Development Indicators | DataBank (worldbank.org)
productivity growth rates
Australia Productivity - 2023 Data - 2024 Forecast - 1978-2022 Historical - Chart
(tradingeconomics.com)
current account balance
Balance of Payments and International Investment Position, Australia, December 2022 | Australian
Bureau of Statistics (abs.gov.au)
重要程度：
难易程度：
Q1
解释的数据由来，并且可能有的问题
1. Sample 数量小
2. Inconsistent data collection standards
注意附上reference
重要程度：
难易程度：
Q1
Explain the prediction model(s) you have established. Explain how you collected the data for the models
and what issues you faced in selecting the data.
Step 1 先去找变量，并解释怎么找到这些数据的
Step 2 做模型
重要程度：
难易程度：
Q1 知识点回顾
把刚刚的变量代入
重要程度：
难易程度：
Q1
Explain the prediction model(s) you have established. Explain how you collected the data for the models
and what issues you faced in selecting the data.
Step 1 先去找变量，并解释怎么找到这些数据的
Step 2 做模型
重要程度：
难易程度：
Q1
所以这边大家就要根据自己的分析以及research去找到一些dependent variable （记得加上
reference）
Reference
The dynamic relationship between exchange rates and macroeconomic fundamentals: Evidence from
Pacific Rim countries – ScienceDirect
Engel and West utilized five different measurements of macroeconomic fundamentals and used the
conventional asset-pricing models to evaluate the exchange rate as the expected present value of a
linear combination for observable fundamentals and unobservable shocks.
Exchange rate changes could be influenced, in the shortor long-run, by macroeconomic
fundamentals, such as interest rate, output and price level
重要程度：
难易程度：
Q1
Explain the prediction model(s) you have established. Explain how you collected the data for the models
and what issues you faced in selecting the data.
Step 1 先去找变量，并解释怎么找到这些数据的
Step 2 做模型
重要程度：
难易程度：
Q2
2. Provide 8 predictions for the AUD/GBP spot exchange rates calculated from your two models from the first
quarter of 2021 till the last quarter of 2022.
2021.3
2021.6
2021.9
2021.12
2022.3
2022.6
2022.9
2022.12
把你找的变量带入你的模型
重要程度：
难易程度：
Q3
3. Compare your predictions with the actual AUD/GBP spot exchange rate.
Reflect on your forecasting model by evaluating the performance of the prediction models. Did you win the bet?
Using the best performing model of choice, make a final prediction of what the S(AUD/GBP) will be on the 31st of
March, 2023. The estimation error must be less than 1% for the exchange rate for you to win the bet. (Note:
whether you win or lose the bet is not a marked item.)
If Predicted > Actual → Overvalued
If Predicted < Actual → Undervalued
重要程度：
难易程度：
Q3
Currency Forecasting Accuracy
重要程度：
难易程度：
Q3
Currency Forecasting Accuracy
重要程度：
难易程度：
Q1
Meaning of Adjusted R2
Both R2 and the adjusted R2 give you an idea of how many data points fall within the line of the regression
equation. However, there is one main difference between R2 and the adjusted R2: R2 assumes that every single
variable explains the variation in the dependent variable. The adjusted R2 tells you the percentage of variation
explained by only the independent variables that actually affect the dependent variable.
找一下reference
如果你的模型里用的变量数量是一样的，那么你就用R2
反之就用adjust R2
重要程度：
难易程度：
Q4
Discuss how you can improve the predictability of your models
1. Increase sample size
2. Add more independent Variable
3. Consider Transformations
- Logarithms of all-positive variables (primarily because this leads to multiplicative models on the original scale,
which often makes sense)
- Standardizing based on the scale or potential range of the data (so that coefficients can be more directly
interpreted and scaled)
mainx (columbia.edu)
这里答案不唯一的，多去找一些reference
重要程度：
难易程度：
Q5
5. Using the forecasted spot exchange rate from your prediction model and the FX quotes from table 1 and 2,
propose a speculative strategy in the FX market. If there is no speculative profit that can be made, explain why
there was a limit to the profitability.
1. 复习一下bid/ask points
2. Speculative Strategy
2023.1.2
1. CPI Average
写好假设
2. 文献日期 < 2023.1.2
重要程度：
难易程度：
Q6
6. Can you find any patterns using technical analysis in the AUD/GBP exchange rates during the first quarter of
2023?
重要程度：
难易程度：
知识点回顾
Technical analysis
- “Pure” technical analysis: chartism
- Support level – level price has trouble falling below
- Resistance level – level price has trouble rising above
- Breakout – a sudden break of a trading range
- Potentially spurious patterns
- Trading on a random walk
- Does charting work?
Tip: 分析过去的数据
重要程度：
难易程度：
知识点回顾
Technical analysis
- “Pure” technical analysis: chartism
重要程度：
难易程度：
知识点回顾
Technical analysis
- A bar chart
重要程度：
难易程度：
知识点回顾
Technical analysis
- Trendlines and trading ranges
- Trendlines connect ascending bottoms and descending tops
- The market is in a trading range when the tops and bottoms are at the same level
重要程度：
难易程度：
知识点回顾
Technical analysis
- Creation of resistance and support levels
重要程度：
难易程度：
知识点回顾
Technical analysis
- Head and shoulders
- This formation indicates the reversal of an upward trend. A reverse head and shoulders formation
implies the opposite
重要程度：
难易程度：
知识点回顾
Technical analysis
- Reverse head and shoulder
- This formation indicates the reversal of an upward trend. A reverse head and shoulders formation
implies the opposite
重要程度：
难易程度：
知识点回顾
Filter rules
• x% rules – buy (go “long”) the currency if it appreciates by x% above its most recent trough (or
support level) and sell (go “short”) the currency when it falls x% below its most recent peak (or
resistance level)
• Moving-average crossover rules – go long (short) in the foreign currency when the short-term
moving average crosses the long-term moving average from below (above)
- 1 and 5 days; 1 and 20 days; 5 and 20 days
• Filter rule profitability – used to be profitable (i.e., 6.2%/year for Swiss franc and 13.94% for yen
before 1994) but not so much anymore. Since 2000, studies suggest using simple moving average
rules works better
重要程度：
难易程度：
知识点回顾
重要程度：
难易程度：
知识点回顾
Moving average rule
• A single moving average rule means you go long (short) in the foreign currency when the short-
term moving average crosses the long-term moving average from below (above)
• 1 and 5 days; 1 and 20 days; 5 and 20 days