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Menampilkan postingan dari Februari, 2010

Applying Corrective AI to Daily Seasonal Forex Trading

  By Sergei Belov, Ernest Chan, Nahid Jetha, and Akshay Nautiyal     ABSTRACT We applied Corrective AI (Chan, 2022) to a trading model that takes advantage of the intraday seasonality of forex returns. Breedon and Ranaldo (2012)   observed that foreign currencies depreciate vs. the US dollar during their local working hours and appreciate during the local working hours of the US dollar. We first backtested the results of Breedon and Ranaldo on recent EURUSD data from September 2021 to January 2023 and then applied Corrective AI to this trading strategy to achieve a significant increase in performance. Breedon and Ranaldo (2012) described a trading strategy that shorted EURUSD during European working hours (3 AM ET to 9 AM ET, where ET denotes the local time in New York, accounting for daylight savings) and bought EURUSD during US working hours (11 AM ET to 3 PM ET). The rationale is that large-scale institutional buying of the US dollar takes place during European working hours to pa

Conference on the sociology of quantitative finance

A new conference called Psi-Q will be held in London this June, featuring luminaries in the academic quantitative finance world, as well as risk and fund managers from various banks and hedge funds. Example topics: How did shared beliefs, practices, ways of calculating, and technical systems impact evaluation of asset-backed securities and CDOs before and during the credit crises? Was that Lucky or Good? Creating a framework for skill attribution in finance, business management and other risky endeavors . The “backing out” phenomena observed in options markets:  how traders use models to imply independent variables consistent with market observed pricing, and where enough traders can be wrong about the expected results and the backed-out positions can send the wrong message. Sounds like an interesting bird's eye view of quantitative finance.

Pairs Trading Workshop in Hong Kong

For my readers in Asia, I will be conducting a pairs trading workshop in Hong Kong on March 10-11. This workshop is organized by the Technical Analyst magazine and is similar to the one I gave in London last year. However, I have added a few useful insights based on audience feedback. As always, no prior knowledge of Matlab or advanced statistics is assumed. The numerous in-class exercises should be sufficient to bring your Matlab programming skills up to speed.