Looking back to see the future

Markets, foreign currency exchanges and even climate change will be better understood and more accurately predicted following research work taking place in Tanaka Business School, Imperial College London.

The Economic and Social Research Council (ESRC) has just made a grant award to Professor Karim Abadir and Dr Walter Distaso of the Finance & Accounting Group and Professor Liudas Giraitis of Queen Mary.  Professor Abadir is the principal investigator and the project is worth nearly half a million pounds. 

The research promises to help governments and central banks make more effective economic policy choices. It will also enhance the implementing of trading and hedging strategies in financial markets. The research is based on finding accurate ways of breaking data down into trends and cycles, and assessing the persistence of these patterns. 

The project, called Extraction of trend, cycle and memory from economic and financial series, will develop new tools for government economists, central bankers, hedge fund managers and those involved in the international financial markets. 

These new tools will be capable of making accurate predictive inferences despite the fact economic and financial series often violate assumptions of standard statistical theory.

Other applications will also be possible, for example, determining whether substantial global warming is happening or whether the temperature increase is mainly part of a long cycle.

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For more information, contact:

Elliott White

020 7594 9154