Download or read book Standard and Optimized Carry Trades written by Jurij-Andrei Reichenecker and published by . This book was released on 2017 with total page 31 pages. Available in PDF, EPUB and Kindle. Book excerpt: Drawdown periods of standard carry trades are primarily the result of losses in classic carry trade currencies. These periods coincide with an increased financial stress, such as the recent financial crisis. The introduced optimized carry trades employ a dynamic weighting scheme for currencies, which incorporates general risk components. Optimized carry trades are therefore less exposed to losses under financial stress, and provide an enhanced risk-return profile over the entire and second half of the sample period and during periods of volatile markets. These results find robust statistical evidence. Furthermore, optimized carry trades have a lower correlation with traditional asset classes than standard carry trades. Traditional models of risk are less successful in explaining the returns of optimized carry trades.

Download or read book Diversification Effect of Standard and Optimized Carry Trades written by Jurij-Andrei Reichenecker and published by . This book was released on 2017 with total page 31 pages. Available in PDF, EPUB and Kindle. Book excerpt: Standard carry trades, which consist of purchasing high- and selling low-yield currencies, provide an economic diversification effect. However, the diversification effect is not robust, and is not borne out by much statistical evidence. We introduce optimized carry trades, which incorporate risk components in the currency selection process. These optimized carry trades provide a diversification effect and robustly enhance the risk-return profile of an underlying portfolio, both economically and statistically. Furthermore, optimized carry trades are applicable as a cash overlay strategy to improve the contribution of a cash position and enhance the portfolio return. The positive contribution of the cash overlay with optimized carry trades is larger than with standard carry trades.

Download or read book Currency Carry Trades written by Blake Mitchell and published by . This book was released on 2023-08-15 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Dive into the world of Forex trading with confidence and strategy through 'Mastery of Forex Carry Trading.' This definitive guide offers traders a comprehensive resource to navigate the intricate landscape of currency carry trading, an artful strategy that capitalizes on interest rate differentials. Begin your journey with a compelling Introduction that sets the stage for the fascinating world of Forex trading. Chapter 1, 'Fundamentals of Forex Trading and Interest Rates, ' lays the foundation by demystifying the critical relationship between currency markets and interest rates. In Chapter 2, explore 'The Concept of Carry Trade Strategy, ' uncovering the essence of a tactic that exploits interest rate disparities. Navigate the realm of currency relationships with Chapter 3's 'Analyzing Currency Correlations, ' equipping you to make informed trading decisions. Discover the 'Factors Affecting Exchange Rates' in Chapter 4, empowering you with insights into the forces that drive currency fluctuations. Chapter 5 introduces 'Interest Rate Parity Theories, ' deepening your understanding of the underpinnings of interest rate differentials. Master the skill of 'Identifying High-Yield and Low-Yield Currencies' with Chapter 6, optimizing your choices for lucrative carry trades. Leverage technical analysis in Chapter 7, as 'Technical Analysis in Currency Carry Trades' guides you to interpret charts and indicators. Chapter 8 introduces 'Fundamental Analysis in Currency Carry Trades, ' combining economic insights with your trading strategy. Secure your investments with Chapter 9's 'Risk Management in Currency Carry Trades, ' ensuring a sound approach to risk mitigation. Explore 'Psychological Aspects of Currency Carry Trading' in Chapter 10, understanding the mental dynamics driving successful trades. In Chapter 11, 'Formulating and Executing Carry Trade Strategies, ' you'll acquire the tools to design and implement your strategies. Chapter 12 delves into 'The Strategic Essence of Currency Carry Trading, ' helping you refine your approach for optimal results. Navigate the psychological nuances with Chapter 13, exploring 'Psychological Aspects of Carry Trading' to maintain confidence. Gain real-world insights through 'Carry Trading Case Studies' in Chapter 14, witnessing successful strategies in action. Chapter 15 examines 'Global Economic Trends and Carry Trades, ' revealing how worldwide trends impact currency markets. Navigate regulations with Chapter 16's 'Regulatory Considerations in Forex Trading, ' ensuring compliance in your trades. Discover 'Alternative Carry Trade Strategies' in Chapter 17, expanding your toolkit for diverse market conditions. Chapter 18 explores the 'Future Outlook for Carry Trading, ' offering a glimpse into the evolving landscape of this dynamic strategy. Conclude your enriching journey with the Conclusion, ready to apply your knowledge and embrace the thrilling world of Forex carry trading. Enhance your understanding with the Appendix: 'Glossary of Key Terms, ' ensuring you're well-versed in the language of currency markets. Whether you're a seasoned trader or a newcomer to Forex, 'Mastery of Forex Carry Trading' equips you with the insights and skills to excel in currency carry trading and master the intricacies of interest rate d

Download or read book The Rise of Carry The Dangerous Consequences of Volatility Suppression and the New Financial Order of Decaying Growth and Recurring Crisis written by Tim Lee and published by McGraw Hill Professional. This book was released on 2019-12-13 with total page 288 pages. Available in PDF, EPUB and Kindle. Book excerpt: Protect yourself from the next financial meltdown with this game-changing primer on financial markets, the economy—and the meteoric rise of carry. The financial shelves are filled with books that explain how popular carry trading has become in recent years. But none has revealed just how significant a role it plays in the global economy—until now. A groundbreaking book sure to leave its mark in the canon of investing literature, The Rise of Carry explains how carry trading has virtually shaped the global economic picture—one of decaying economic growth, recurring crises, wealth disparity, and, in too many places, social and political upheaval. The authors explain how carry trades work—particularly in the currency and stock markets—and provide a compelling case for how carry trades have come to dominate the entire global business cycle. They provide thorough analyses of critical but often overlooked topics and issues, including: •The active role stock prices play in causing recessions—as opposed to the common belief that recessions cause price crashes •The real driving force behind financial asset prices •The ways that carry, volatility selling, leverage, liquidity, and profitability affect the business cycle •How positive returns to carry over time are related to market volatility—and how central bank policies have supercharged these returns Simply put, carry trading is now the primary determinant of the global business cycle—a pattern of long, steady but unspectacular expansions punctuated by catastrophic crises. The Rise of Carry provides foundational knowledge and expert insights you need to protect yourself from what have come to be common market upheavals—as well as the next major crisis.

Download or read book Using Option Implied Information to Improve Currency Carry Trade Profits written by Michael Broll and published by . This book was released on 2017 with total page 47 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study investigates an efficient parametric portfolio policy model to improve the return distribution of the well-known currency carry trade investment strategy. This carry trade strategy invests into high-yielding currencies that are subsequently funded by low-yielding currencies. Following this investment procedure has led to significantly excess returns for the investors, at least over the past four decades. However, these returns were subject to a high crash risk, which hit its peak during the US subprime crisis in 2008/2009 with portfolio losses of up to one third of the investment value. The constructed model overcomes these bad portfolio properties through computing the optimal carry trade portfolio weight for any monthly revolving investment period. This is done by modeling the optimal weight as a function of the carry trade's risk characteristics. Especially, when using global FX option-implied variance risk, as well as global consumer price inflation and commodity prices as background risk factors, the model delivers extremely-efficient out-of-sample results with annualized mean returns of up to 8.4% over an eight-year period, accompanied with a low standard deviation, positively skewed returns and leading to Sharpe ratios around unity, including transaction costs. These promising statistics are largely maintained when allowing for higher leveraged portfolios.

Download or read book Systematic Trading written by Robert Carver and published by Harriman House Limited. This book was released on 2015-09-14 with total page 247 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is not just another book with yet another trading system. This is a complete guide to developing your own systems to help you make and execute trading and investing decisions. It is intended for everyone who wishes to systematise their financial decision making, either completely or to some degree. Author Robert Carver draws on financial theory, his experience managing systematic hedge fund strategies and his own in-depth research to explain why systematic trading makes sense and demonstrates how it can be done safely and profitably. Every aspect, from creating trading rules to position sizing, is thoroughly explained. The framework described here can be used with all assets, including equities, bonds, forex and commodities. There is no magic formula that will guarantee success, but cutting out simple mistakes will improve your performance. You'll learn how to avoid common pitfalls such as over-complicating your strategy, being too optimistic about likely returns, taking excessive risks and trading too frequently. Important features include: - The theory behind systematic trading: why and when it works, and when it doesn't. - Simple and effective ways to design effective strategies. - A complete position management framework which can be adapted for your needs. - How fully systematic traders can create or adapt trading rules to forecast prices. - Making discretionary trading decisions within a systematic framework for position management. - Why traditional long only investors should use systems to ensure proper diversification, and avoid costly and unnecessary portfolio churn. - Adapting strategies depending on the cost of trading and how much capital is being used. - Practical examples from UK, US and international markets showing how the framework can be used. Systematic Trading is detailed, comprehensive and full of practical advice. It provides a unique new approach to system development and a must for anyone considering using systems to make some, or all, of their investment decisions.

Download or read book Handbook of Exchange Rates written by Jessica James and published by John Wiley & Sons. This book was released on 2012-05-29 with total page 674 pages. Available in PDF, EPUB and Kindle. Book excerpt: Praise for Handbook of Exchange Rates “This book is remarkable. I expect it to become the anchor reference for people working in the foreign exchange field.” —Richard K. Lyons, Dean and Professor of Finance, Haas School of Business, University of California Berkeley “It is quite easily the most wide ranging treaty of expertise on the forex market I have ever come across. I will be keeping a copy close to my fingertips.” —Jim O’Neill, Chairman, Goldman Sachs Asset Management How should we evaluate the forecasting power of models? What are appropriate loss functions for major market participants? Is the exchange rate the only means of adjustment? Handbook of Exchange Rates answers these questions and many more, equipping readers with the relevant concepts and policies for working in today’s international economic climate. Featuring contributions written by leading specialists from the global financial arena, this handbook provides a collection of original ideas on foreign exchange (FX) rates in four succinct sections: • Overview introduces the history of the FX market and exchange rate regimes, discussing key instruments in the trading environment as well as macro and micro approaches to FX determination. • Exchange Rate Models and Methods focuses on forecasting exchange rates, featuring methodological contributions on the statistical methods for evaluating forecast performance, parity relationships, fair value models, and flow–based models. • FX Markets and Products outlines active currency management, currency hedging, hedge accounting; high frequency and algorithmic trading in FX; and FX strategy-based products. • FX Markets and Policy explores the current policies in place in global markets and presents a framework for analyzing financial crises. Throughout the book, topics are explored in-depth alongside their founding principles. Each chapter uses real-world examples from the financial industry and concludes with a summary that outlines key points and concepts. Handbook of Exchange Rates is an essential reference for fund managers and investors as well as practitioners and researchers working in finance, banking, business, and econometrics. The book also serves as a valuable supplement for courses on economics, business, and international finance at the upper-undergraduate and graduate levels.

Download or read book The Ultimate Algorithmic Trading System Toolbox Website written by George Pruitt and published by John Wiley & Sons. This book was released on 2016-04-22 with total page 363 pages. Available in PDF, EPUB and Kindle. Book excerpt: The accessible, beneficial guide to developing algorithmic trading solutions The Ultimate Algorithmic Trading System Toolbox is the complete package savvy investors have been looking for. An integration of explanation and tutorial, this guide takes you from utter novice to out-the-door trading solution as you learn the tools and techniques of the trade. You'll explore the broad spectrum of today's technological offerings, and use several to develop trading ideas using the provided source code and the author's own library, and get practical advice on popular software packages including TradeStation, TradersStudio, MultiCharts, Excel, and more. You'll stop making repetitive mistakes as you learn to recognize which paths you should not go down, and you'll discover that you don't need to be a programmer to take advantage of the latest technology. The companion website provides up-to-date TradeStation code, Excel spreadsheets, and instructional video, and gives you access to the author himself to help you interpret and implement the included algorithms. Algorithmic system trading isn't really all that new, but the technology that lets you program, evaluate, and implement trading ideas is rapidly evolving. This book helps you take advantage of these new capabilities to develop the trading solution you've been looking for. Exploit trading technology without a computer science degree Evaluate different trading systems' strengths and weaknesses Stop making the same trading mistakes over and over again Develop a complete trading solution using provided source code and libraries New technology has enabled the average trader to easily implement their ideas at very low cost, breathing new life into systems that were once not viable. If you're ready to take advantage of the new trading environment but don't know where to start, The Ultimate Algorithmic Trading System Toolbox will help you get on board quickly and easily.

Download or read book Storage Trade and Price Policy Under Production Instability written by Thomas C. Pinckney and published by Intl Food Policy Res Inst. This book was released on 1988 with total page 108 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Standards and Global Trade written by John Sullivan Wilson and published by World Bank Publications. This book was released on 2003 with total page 492 pages. Available in PDF, EPUB and Kindle. Book excerpt: This publication provides the first comprehensive assessment of the relationship between trade standards and development priorities in Africa, with case studies of the use of international standards and capacity for compliance in five countries: Kenya, Mozambique, Nigeria, South Africa and Uganda. It describes the economic context of trade standards in these countries, and examines the mechanisms by which standards and regulations are established and revised at local and international levels. It also considers the probable impact of new standards, regulations and related production/marketing practices in key industries.

Download or read book Optimization Modeling with Spreadsheets written by Kenneth R. Baker and published by John Wiley & Sons. This book was released on 2015-06-15 with total page 402 pages. Available in PDF, EPUB and Kindle. Book excerpt: An accessible introduction to optimization analysis using spreadsheets Updated and revised, Optimization Modeling with Spreadsheets, Third Edition emphasizes model building skills in optimization analysis. By emphasizing both spreadsheet modeling and optimization tools in the freely available Microsoft® Office Excel® Solver, the book illustrates how to find solutions to real-world optimization problems without needing additional specialized software. The Third Edition includes many practical applications of optimization models as well as a systematic framework that illuminates the common structures found in many successful models. With focused coverage on linear programming, nonlinear programming, integer programming, and heuristic programming, Optimization Modeling with Spreadsheets, Third Edition features: An emphasis on model building using Excel Solver as well as appendices with additional instructions on more advanced packages such as Analytic Solver Platform and OpenSolver Additional space devoted to formulation principles and model building as opposed to algorithms New end-of-chapter homework exercises specifically for novice model builders Presentation of the Sensitivity Toolkit for sensitivity analysis with Excel Solver Classification of problem types to help readers see the broader possibilities for application Specific chapters devoted to network models and data envelopment analysis A companion website with interactive spreadsheets and supplementary homework exercises for additional practice Optimization Modeling with Spreadsheets, Third Edition is an excellent textbook for upper-undergraduate and graduate-level courses that include deterministic models, optimization, spreadsheet modeling, quantitative methods, engineering management, engineering modeling, operations research, and management science. The book is an ideal reference for readers wishing to advance their knowledge of Excel and modeling and is also a useful guide for MBA students and modeling practitioners in business and non-profit sectors interested in spreadsheet optimization.

Download or read book Code Generation for Embedded Convex Optimization written by Jacob Elliot Mattingley and published by Stanford University. This book was released on 2011 with total page 123 pages. Available in PDF, EPUB and Kindle. Book excerpt: Convex optimization is widely used, in many fields, but is nearly always constrained to problems solved in a few minutes or seconds, and even then, nearly always with a human in the loop. The advent of parser-solvers has made convex optimization simpler and more accessible, and greatly increased the number of people using convex optimization. Most current applications, however, are for the design of systems or analysis of data. It is possible to use convex optimization for real-time or embedded applications, where the optimization solver is a part of a larger system. Here, the optimization algorithm must find solutions much faster than a generic solver, and often has a hard, real-time deadline. Use in embedded applications additionally means that the solver cannot fail, and must be robust even in the presence of relatively poor quality data. For ease of embedding, the solver should be simple, and have minimal dependencies on external libraries. Convex optimization has been successfully applied in such settings in the past. However, they have usually necessitated a custom, hand-written solver. This requires signficant time and expertise, and has been a major factor preventing the adoption of convex optimization in embedded applications. This work describes the implementation and use of a prototype code generator for convex optimization, CVXGEN, that creates high-speed solvers automatically. Using the principles of disciplined convex programming, CVXGEN allows the user to describe an optimization problem in a convenient, high-level language, then receive code for compilation into an extremely fast, robust, embeddable solver.

Download or read book TRADE AND FOOD STANDARDS written by Food and Agriculture Organization of the United Nations and published by Food & Agriculture Org.. This book was released on 2018-05-25 with total page 72 pages. Available in PDF, EPUB and Kindle. Book excerpt: This publication emphasizes the importance of participation and engagement of governments in standards development in Codex and in resolving trade concerns in the WTO SPS and TBT Committees, as well as the importance of capacity development, which together contribute to the dynamism and robustness of the global system of food standards and trade.

Download or read book Multi Period Trading Via Convex Optimization written by Stephen Boyd and published by . This book was released on 2017-07-28 with total page 92 pages. Available in PDF, EPUB and Kindle. Book excerpt: This monograph collects in one place the basic definitions, a careful description of the model, and discussion of how convex optimization can be used in multi-period trading, all in a common notation and framework.

Download or read book Beyond the Carry Trade written by Pedro Barroso and published by . This book was released on 2016 with total page 43 pages. Available in PDF, EPUB and Kindle. Book excerpt: We test the relevance of technical and fundamental variables in forming currency portfolios. Carry, momentum and reversal all contribute to portfolio performance, whereas the real exchange rate and the current account do not. The resulting optimal portfolio outperforms the carry trade and other naive benchmarks in an extensive 16 year out-of-sample test. Its returns are not explained by risk and are valuable to diversified investors holding stocks and bonds. Exposure to currencies increases the Sharpe ratio of diversified portfolios by 0.5 on average, while reducing crash risk. We argue that currency returns are an anomaly which is gradually being corrected as hedge fund capital increases.The appendix may be found here: 'http://ssrn.com/abstract=2771667' http://ssrn.com/abstract=2771667.

Download or read book From Carry Trades to Curvy Trades written by and published by . This book was released on 2018 with total page 39 pages. Available in PDF, EPUB and Kindle. Book excerpt: Traditional carry trade strategies are based on differences in short-term interest rates, neglecting any other information embedded in yield curves. We derive return distributions of carry trade portfolios among G10 currencies, where the signals to buy and sell currencies are based on summary measures of the yield curve, the Nelson-Siegel factors. We find that a strategy based on the relative curvature factor, the curvy trade, yields higher Sharpe ratios and a smaller return skewness than traditional carry trade strategies. Curvy trades build less upon the typical carry currencies, like the Japanese yen and the Swiss franc, and are hence less susceptible to crash risk. In line with that, standard pricing factors of traditional carry trade returns, such as exchange rate volatility, fail to explain curvy trade returns in a linear asset pricing framework. Our findings are in line with recent interpretations of the curvature factor. A relatively high curvature signals a relatively higher path of future short-term rates over the medium-term putting upward pressure on the currency.

Download or read book General Technical Report INT written by and published by . This book was released on 1995 with total page 304 pages. Available in PDF, EPUB and Kindle. Book excerpt: