MATH6011 Forecasting Assignment 2005

The assignment must be handed in by 3pm Monday 25th April 2005 to the Maths School Office. A yellow “Assignment Hand In” Cover must be completed and stapled to the front of your work. An extension, for bona fide reasons, may be allowed by prior agreement, but only well before the deadline. Computer crashes or file losses a day or two before the deadline will not be an acceptable reason.

Components of the project will receive different weightings in producing your final mark. The weightings are

Main report: Choice of Presentational Style 20, Clarity 30, Logical Development and Relevance 25, Quality of Argument Presented 25.

Technical Report: Layout and Style 20, Appraisal and Preparation of the Data Prior to Technical Analysis 20, Technical Analysis and Content 35, Functionality of the spreadsheet itself and Initiative Shown 25.

Note: the final mark will be scaled to be out of 100.

1. Background

You have been employed as a consultant to prepare a report for an ad hoc Stock Exchange Committee 'Fathoming Footsie'. The report is to forecast the behaviour of a number of key economic indicators for the rest of the year, 2005. Data on these statistics is available from the Government Website http://www.statistics.gov.uk/statbase/TSDtables1.asp, in Section 1.1: Selected monthly indicators. The indices and statistics you have been asked to investigate are listed below. The four letter code indicates the precise series you have to consider in each of the Tables.

Average Rates Against Sterling: AGBG

Public Sector Finances: Net borrowing: ANNX

Total New Orders: JIQH

Money Stock M4: VQJW

Employment Jobs: All Jobs: Manufacturing Industry: YEJA

You are asked to take each series separately and to forecast monthly performance till the end of 2005.

You are also asked to use these five listed indices as explanatory variables in a multivariate regression model to forecast the 'UK Footsie 100 share index: FTSE, until the end of 2005. This can be found at http://www.econstats.com/eqty/eq_em45.htm, and is column 1 in the table (after the date column).

Develop a multiple regression model and report on whether you think the model is satisfactory or not.

As so often happens in the real world, the data sets are of different length. You will have to use your own judgement in inspecting and preparing the data before carrying out any technical analysis.

2. What You Must Produce

2.1 The Main Report

For the main report, imagine that you have to make a short (twenty minute) presentation in a meeting with senior members of 'Fathoming Footsie'. Your report should describe the forecasts for each series. You should also comment on any patterns you see.

You must produce copies on paper of any displays you would use (e.g. overhead-projector slides, Powerpoint presentations) together with any written material you would hand to the audience. You will NOT actually have to make the presentation. Any slides do NOT have to be produced on transparencies or film; paper copies are all that are required, though you should make it clear which medium you would be using. There is no need to use colour for any hard-copy.

The presentation material will be judged on its clarity, relevance, choice of presentational techniques, and quality of argument used.

2.2 Technical Report

You must also produce a separate technical report. This report should give brief details of the analysis and describe why the analysis was performed in the way it was. It should also include a description of how the analysis was implemented on a spreadsheet.

The report must be produced on paper, but you should also submit a disk. This should contain the spreadsheet(s) used for the analysis. A very brief description of how to use the spreadsheet should be given.

Your report will be marked on its layout and style, the choice and preparation of data used, quality of technical analysis, the functionality of the spreadsheet itself and any initiative shown. Despite its name, the members of 'Fathoming Footsie' technical staff are busy people, so do not make your technical discussion overlong!

If there is any further information you believe to be essential, make a realistic assumption and explain clearly what you have done.

Initiative will be rewarded.

Russell Cheng, Feb 2005 MATH6011cw05.doc