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Handelsstrategier för valutor

Wallentin, Thorbjörn LU (2011) NEKK01 20111
Department of Economics
Abstract
The foreign exchange market is regarded as one of the biggest and most liquid market in the world. This should make a good foundation for finding profitable trading strategies. Currencies are seldom treated as an investable asset despite the good liquidity, however, within the hedge fund industry they are traded on regular basis based on a number of strategies. I have chosen to evaluate and if possible enhance some of the most popular trading strategies within the hedge fund industry. These strategies are based on input from fixed income markets; equity markets and also pure technical analysis. As a result the user of the strategy gets an output on how to be positioned in the different currencies. To be able to cope with all the data... (More)
The foreign exchange market is regarded as one of the biggest and most liquid market in the world. This should make a good foundation for finding profitable trading strategies. Currencies are seldom treated as an investable asset despite the good liquidity, however, within the hedge fund industry they are traded on regular basis based on a number of strategies. I have chosen to evaluate and if possible enhance some of the most popular trading strategies within the hedge fund industry. These strategies are based on input from fixed income markets; equity markets and also pure technical analysis. As a result the user of the strategy gets an output on how to be positioned in the different currencies. To be able to cope with all the data needed to be processed the only currencies included are the most liquid ones, namely American dollar, Japanese yen, Euro and British pound. Further, some simple filters were applied to one of the strategies, carry-trading, in an effort to minimize losses without giving up too much potential profit. The results are very promising, both interest rate differential and carry trading seems to be robust strategies, and when introducing filters the risk adjusted performance is improved further. The results are less promising for technical analysis and the equity strategy, however, it should not be ruled out that they could work if some adjustments were made. (Less)
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author
Wallentin, Thorbjörn LU
supervisor
organization
course
NEKK01 20111
year
type
M2 - Bachelor Degree
subject
keywords
Foreign exchange, currencies, trading strategies, handelsstrategier, valutor, systematic trading
language
Swedish
id
1973683
date added to LUP
2011-06-27 13:00:35
date last changed
2011-06-27 13:00:35
@misc{1973683,
  abstract     = {The foreign exchange market is regarded as one of the biggest and most liquid market in the world. This should make a good foundation for finding profitable trading strategies. Currencies are seldom treated as an investable asset despite the good liquidity, however, within the hedge fund industry they are traded on regular basis based on a number of strategies. I have chosen to evaluate and if possible enhance some of the most popular trading strategies within the hedge fund industry. These strategies are based on input from fixed income markets; equity markets and also pure technical analysis. As a result the user of the strategy gets an output on how to be positioned in the different currencies. To be able to cope with all the data needed to be processed the only currencies included are the most liquid ones, namely American dollar, Japanese yen, Euro and British pound. Further, some simple filters were applied to one of the strategies, carry-trading, in an effort to minimize losses without giving up too much potential profit. The results are very promising, both interest rate differential and carry trading seems to be robust strategies, and when introducing filters the risk adjusted performance is improved further. The results are less promising for technical analysis and the equity strategy, however, it should not be ruled out that they could work if some adjustments were made.},
  author       = {Wallentin, Thorbjörn},
  keyword      = {Foreign exchange,currencies,trading strategies,handelsstrategier,valutor,systematic trading},
  language     = {swe},
  note         = {Student Paper},
  title        = {Handelsstrategier för valutor},
  year         = {2011},
}