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Helping investors make better decisions is on the agenda of Marquis Scholar Greg Staszowski (South Windsor, Conn). Through a senior honors thesis, he is using mathematical models to determine financial trends in the market.
“My thesis deals with evaluating the efficiency of the Eurodollar futures contract market through the use of digital signal processing algorithms (DSP),” explains Staszowski. “The thesis aims to utilize such strategies as neural networks, wavelet decomposition, and fractal analysis to mark some measure of predictability. I’m attempting to develop a methodology that will maintain a higher success outcome than random chance.”
Ismail Jouny, professor and head of electrical and computer engineering, is advising the engineering side of Staszowski’s thesis.
Jouny has published numerous articles in academic publications, many of which were co-authored with Lafayette students. He has served as a summer faculty fellow at the U.S. Naval Air Base in Patuxent River, Md., and Naval Underwater Warfare Center in Newport, R.I. Jouny also has a U.S. patent pending, has served as a consultant in industry, and has been listed in Who’s Who in Science & Technology.
“Greg is using the same tools used to analyze electrical signals, such as video and audio, to analyze economic data. He’s developing a model and trying to predict a pattern of futures prices within a day or perhaps even a shorter time period,” he says.
Staszowski is using a data set provided by his other thesis adviser, Donald Chambers, Walter E. Hanson/KPMG Peat Marwick Professor of Business and Finance.
“Greg is exploring a concept in finance we call market efficiency, which is the idea that values move randomly,” says Chambers. “He is using various mathematical tools to determine whether financial values are predictable or random and analyzing a data set I put together on the Eurodollar interest rate.”
“There are branches of economics and business that are incredibly quantitative. Of course, that’s where the overlap with engineering occurs,” Chambers explains.
“This project is very fitting for Lafayette. It’s unique research that integrates two disciplines,” adds Jouny.
Staszowski was drawn to the topic after discussions with Chambers and Jouny. “They were excited for me to undertake this thesis,” he says. “They’ve have helped me select the techniques and ideas I need to research.”
“Professor Jouny was highly supportive throughout the initial steps in selecting the thesis topic,” Staszowski adds. “His continuing support and organization have made the first phase of my thesis enjoyable. With a general topic in mind, Professor Chambers generously supplied his own Eurodollar futures market data. Collecting data for almost five years, he has published papers on futures market research and provides great explanations and alternative examples to help me understand the field. His visible passion for the futures market is also very contagious, making the research and learning intriguing.”
Staszowski is excited about the chance to explore what he terms the “real world” implications of his work.
“Since most of the classroom work of DSP has been largely derivations, I wanted to experience how such a field is related to other areas of life. The concept of the market and stocks has always been an unknown to me. What drives the market? Is there a way to obtain a significant advantage when investing? I felt a union of these fields would offer a challenging and interesting means of fulfilling my desire to experience research and to become fully knowledgeable in the field. I’m excited about this research because it is applicable to the real world. Predicting rates and indexes is a real study that people do every day; some people are successful and make money, while others fail.”
Staszowski has not decided whether he will pursue a career in engineering or business after graduation. “Having exposure to both disciplines has opened my eyes to the options available. I’m glad Lafayette is able to provide the resources to join my fields of study.”
“Due to the large variety of theses that have been written at Lafayette, as well as the quality of professors, I feel that the college provides an atmosphere that is conducive to academic research,” he says. “Lafayette encourages students to strive for high levels of achievement and fosters relationships between faculty and students that have enabled me to produce high-caliber work.”
Staszowski is a member of Omicron Delta Epsilon, the economics honor society, and Eta Kappa Nu, the electrical engineering honor society. His membership in Tau Beta Pi, the engineering honor society, is pending. He competes on the track team and is a Eucharistic minister, Experience Lafayette College member, and a writing associate for the College Writing Program. He is president of Newman Association and plays trumpet with Newman Musicians. A First-Year Orientation leader, he and serves on the group’s steering committee and is entertainment co-chair.