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
There is a workshop on the 25th of February titled "Market turbulence; monetization; and universality" by Mike Lipkin at Columbia University that promises to be interesting to those traders who have a physics background. Mike is a former colleague of mine at Cornell's Laboratory of Atomic and Solid State Physics, and I fondly remember the good old days when we all hunched over the theory group's computers while day-dreaming of our future. Mike has since gone on to become an options market-maker at the American Stock Exchange and an Adjunct Associate Professor at Columbia. He published some very interesting research on the "stock pinning" phenomenon near options expirations, i.e. stock prices often converge to the nearest strike prices of their options just before expirations.
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If we want to trade directly on various FX ECNs such as HotspotFX or EBS, perhaps because we want to run some HFT strategies, we will need to be sponsored by a prime broker. However, since the Dodd-Frank act has been in full force, no prime brokers that I know of are willing to take on customers with less than $10M assets. (I often feel that the CFTC's primary goal is to prevent small players like myself from ever competing with bigger institutions. Of course, their stated goal is to "protect" us from financial harm ....) The only exception may be CitiFX TradeStream ECN. Has any reader ever traded on this market? Any reviews or comments will be most welcome.
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I am now offering an online workshop "Quantitative Momentum Strategies” to a select number of traders and portfolio managers. It will be conducted in real-time through Skype, and the number of attendees will be limited to 4. See here for more information.
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If we want to trade directly on various FX ECNs such as HotspotFX or EBS, perhaps because we want to run some HFT strategies, we will need to be sponsored by a prime broker. However, since the Dodd-Frank act has been in full force, no prime brokers that I know of are willing to take on customers with less than $10M assets. (I often feel that the CFTC's primary goal is to prevent small players like myself from ever competing with bigger institutions. Of course, their stated goal is to "protect" us from financial harm ....) The only exception may be CitiFX TradeStream ECN. Has any reader ever traded on this market? Any reviews or comments will be most welcome.
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I am now offering an online workshop "Quantitative Momentum Strategies” to a select number of traders and portfolio managers. It will be conducted in real-time through Skype, and the number of attendees will be limited to 4. See here for more information.
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