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Quantitative Research Paper

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Submitted By el1te
Words 3044
Pages 13
Justin Andre

EC315-Robert Simcoe

Quantitative Research Paper

05/07/2015

I have decided to have a look at the exchange rate for the Euro Dollar to the United States Dollar for my research paper. The dependent variable is the daily high to low price movement of the Euro Dollar to the United States Dollar shown in percentage interest points where 100 is equal to 1 penny difference in price. The dependent variable is determined by independent variables average true range, volumes, volatility, and day of the week. The most important independent variable in this relationship is the average true range because the formula estimates daily hi to low price movement. The independent variable volumes is related to the daily hi to low price movement because it shows how many price ticks occurred during the trading day. The independent variable volatility is related to daily price change because the formula predicts how rapidly price can change. The independent variable day of the week is related to price change because market makers historically do more business on certain days. Our dependent data will be compared to each independent variable to see if there is negative, positive, or no correlation between them. Now that we have briefly gone over our variables let’s take a closer look at them before we start to run statistical analysis on the data.

Variables

My first variable is the dependent variable daily high to low of the price for the exchange rate of the Euro Dollar to the United States Dollar which will be represented as “H/L EUR/USD.” This value is represented in “PIPS” which is an acronym for “percentage interest point”. There are 100 pips in 1 penny of price movement and there are 10 smaller fractional pips in a pip. For example if the exchange rate on EUR/USD moves 150 pips in one trading day then that would be equal to 1 ½ pennies.

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