Technical Performance Analysis of FX trading strategies | Maxim Khomiakov
| | Abstract | In this project I will analyze and incorporate one of the most popular foreign exchange trading strategies in use, also known as carry-trading. Using this strategy the trader attempts to capture an interest differential between a low yielding currency, and a higher yielding currency. Selling the currency with the lower interest rate and buying into the one with the higher interest. The greatest risk is the movement of the currency exchange rates, which if not accounted for properly, could amount into a major loss. Another known strategy for trading FX products is the momentum strategy. This is a strategy which tries to utilize and take advantage of market movements. Based on the theory of supply and demand you assume that the exchange rate with go and down concurrently with large transactions of the particular currency. I.e. If many people buy a certain asset the price would rise, and vice-versa if selling would occur. The idea of momemtum is to capture the up and downtrends of hte market. The question I seek to answer, is whether it is possible to optimize and utilize these strategies to make a significantly risk-adjusted profit. | | Type | Bachelor of Engineering thesis [Academic thesis] | | Year | 2012 | | Publisher | Technical University of Denmark, DTU Informatics, E-mail: reception@imm.dtu.dk | | Address | Asmussens Alle, Building 305, DK-2800 Kgs. Lyngby, Denmark | | Series | IMM-B.Eng.-2012-31 | | Note | DTU supervisors: Associate professor Murat Kulachi, mk@imm.dtu.dk, DTU Informatics, and Associate Professor Koroush Manjani Rasmussen, DTU Management | | Electronic version(s) | [pdf] | | Publication link | http://www.imm.dtu.dk/English.aspx | | BibTeX data | [bibtex] | | IMM Group(s) | Mathematical Statistics |
|