The foreign exchange market (forex, FX, or currency market) is a global, worldwide-decentralized financial market for trading currencies. Commonly traded instruments include spot, forward, swaps, futures, and options. The FX market is the most liquid financial market in the world. There is no ...
4
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0answers
113 views
Distribution of profit/loss for retail traders in FX
I've heard that 90% of retail investors in FX lose money. I want to analyze this in more detail.
Question: Is there some literature that describes the statistics of profit/loss for retail traders in ...
1
vote
1answer
54 views
When calculating CIP between EU and US, which interest rates data to use?
I am wondering which data to use to test the Covered Interest Rate Parity between Europe and the United States. Recap that for the CIP to hold, it should mean that
F/S = (1+r)/(1+r*) where
F = the ...
1
vote
0answers
59 views
How to measure if variance is greater at a certain time of day?
I'm not very fluent in the quant vernacular, so perhaps the nature of my question will be better illustrated as a hypothesis.
One market has closed and another market elsewhere on Spaceship Earth is ...
1
vote
2answers
157 views
How is historical data for forex collected or computed?
I'm looking at four sources of forex data, as compiled in the question, What data sources are available online? And I think I must be misunderstanding something, perhaps something fundamental, but I'm ...
7
votes
3answers
237 views
how do you evaluate an FX market aggregator?
My firm is investigating FX aggregation systems to see if we can reduce execution costs for our systematic trading strategies that involve FX (not low latency).
Some of the contenders are Integral, ...
3
votes
0answers
113 views
compute time from FX forward, how use DEPO rates?
assume I have following delta-term vol data from broker:
...
2
votes
0answers
81 views
EUR/PLN and EUR/USD delta-term-vol surface quoting convension
does anyone know for sure what is the FX market convension to quote delta-term pairs for EUR/PLN, for EUR/USD. I know that for EUR/PLN it should be delta p.a forward, for EUR/USD it should be delta ...
0
votes
1answer
72 views
5
votes
0answers
69 views
How to perform Empirical Mode Decomposition?
I am trying to use the EMD applied to EURUSD open price to train a machine learning algo (RVM).
I have run only once the EMD on my training set and once on the training+test set.
The results on the ...
2
votes
1answer
230 views
Does DOM trading using broker data make any sense?
Can I use DOM information from Interactive Brokers? Does it make sense?
I assume that it makes sense to apply some volume based algorithms only then when you know this order book, that you can get ...
0
votes
1answer
67 views
volatility Table and BS formula
assume I have implied FX volatility Delta-Term table from broker. I have time noticed as 2M, 3M. what do I have to put into BS formula, is it 2/12 or "count the business days"/"daycount basis"?
I am ...
2
votes
2answers
177 views
Why FX Vanilla Options are quoted in volatility
I've been curious why vanilla options are quoted (and traded) in terms of volatility. Considering that every financial institution has its own options pricing model, volatility as an input would cause ...
2
votes
1answer
157 views
hedging two bonds in different currencies with FX forward
Is there a way to make a hedged portfolio using two bonds, one is in EUR, the other one is in USD and FX forward contract? Assume that FX rate follows geometric Brownian motion movement.
2
votes
2answers
404 views
Forex ECN for Algorithmic Trading
I'm looking for a forex brokerage that allows me to:
add limit orders to the order book and
trade against other clients
However, when I look at the looks of fxcm, alpari, robofx, ... it appears all ...
1
vote
0answers
97 views
2
votes
1answer
146 views
Computing FX forward delivery dates
I'm looking for a precise definition of how FX outright delivery dates are computed.
Chapter 1 of the book 'Foreign Exchange Option Pricing: A Practitioners Guide' (this chapter can be found here) ...
2
votes
2answers
662 views
Interpolating FX forward points
When computing an FX forward rate for an expiry that is not explicitly quoted, it seems to me that a reasonable way to do it is log-linear interpolation of the two nearest outright forward rates, ...
1
vote
2answers
323 views
Multi asset option portfolio risk management (greeks and FX exposure)
I am running an options book containing listed options across multiple products. I trade mostly equity and index related options - with a preference for European expiration products. I trade products ...
-4
votes
1answer
177 views
Getting started with Forex Trading [closed]
I have $2000 that I can risk losing.
I'd like to get started with Forex Trading.
Is there some place where I can open an account, get free API access, and write basic programs to play with the data? ...
3
votes
1answer
838 views
Equivalency of FX forwards and FX basis swaps for risk-management purposes
Can one deem an FX float-to-float swap and a FX forward equivalent on dates immediately after repricing? The reason I am asking, I am hedging something that can be modeled via an FX forward, I was ...
2
votes
2answers
449 views
Usefulness of simultaneously buying triangular and multiple arbitrages on the Forex
I have a limited financial background but I'm trying to figure out the usefulness of buying size-n arbitrages (n > 3), and I wonder the kind of risks - if any - associated with such a strategy.
Say ...
-4
votes
1answer
100 views
Estimating Currency Exchange Fluctuations - Appreciation and Depreciation of Two Currencies [closed]
25 May, 2012
Given the variation between two currencies at any given instant, how to calculate the resulting rates of appreciation and depreciation? Are the two rates same or different for a single ...
1
vote
0answers
128 views
what is a typical way forex brokerages can provide cheap leverage for their customers?
I'm not very well read in the area of high finance but I'm curious how forex brokerages are able to provide the backing for leverage that they can provide to customers.
Is it possible to do this ...
3
votes
1answer
199 views
Inferring highest bid and lowest ask from forex trade data
I have historical trade data for every trade on a forex exchange, whcih includes the following data:
Time the trade was made
Amount, in currency A
Price, in currency B
I have also used this to ...
2
votes
2answers
340 views
One bar look-ahead backtesting
Suppose you backtest the EUR/USD (or GBP/USD) forex pair with this system on the 1min timeframe:
1) Enter the market at any time n: go long if the "future" bar n+1 has a higher close as the close ...
10
votes
2answers
3k views
Cross Currency Swap Pricing in nowadays environment
Multicurve setting has now become the new paradigm for vanilla swap valuation. For the record I give here (without getting into too much details) the methodoloy for pricing Euribor3M swaps in this ...
3
votes
0answers
220 views
How to balance two Forex crosses correctly to do a linear regression?
I have two cross and an account in EUR:
EUR/USD
GBP/USD
I would like to do a balanced linear regression using R. With "balanced" I mean that I would like to normalize it by calculating the ...
7
votes
1answer
122 views
How should you manage lot sizes in this situation?
Imagine that prior to entering the market you know beforehand the profit factor of similar situations.
For example:
...
8
votes
1answer
178 views
How should FX options be priced when a currency is artificially capped?
The question is inspired by yesterday's (06/09/11) historic announcement by the Swiss National Bank that it would impose a ceiling on the franc of 1.20 against the euro.
I would like to know if there ...
9
votes
1answer
234 views
Could banks move to continuous (rather than overnight) funding?
The dominant frequencies for Money Market and FX instruments were 6m and 3m for a long time, and banks slowly moved to commercial trades at those frequencies but funding overnight. If this is a step ...
6
votes
2answers
809 views
Why does this Co-integrated basket look too good to be true?
You need quantmod & tseries in R to run this:
...
8
votes
3answers
842 views
How to generate synthetic FX data for backtesting?
I want to generate synthetic forex data for the purpose of backtesting my trading algorithms. I have some rough ideas in mind on how to do this:
Start with a curve representing a trend, then randomly ...
2
votes
3answers
836 views
Why are exotic options most popular in FX?
I was reading Derman's latest blog post on Vanna Volga pricing, which, according to the linked Wikipedia article, is used mostly for pricing exotic options on foreign exchange (FX). This Willmott ...
3
votes
1answer
233 views
FX option history
I am testing my model and I am interested in options prices on EUR|USD for Jan, 2011.
The history can be even daily - but I have never had a deal with fx options, so I don't know where start to look ...
10
votes
1answer
1k views
How do I compare implied and historic volatility?
what would you suggest are the starting points for comparing, in an easy, visual way, implied and delivered volatility surfaces? I'd like to see what the differences are between the historic surfaces, ...
8
votes
3answers
361 views
How do I eliminate developed currency funding cross rate risk in an EMFX position?
Back in the "old days" (ie 5-10 years ago) when we wanted to be long or short an emerging currency (say the ZAR, BRL, or TRY) we simply did everything against the pre-eminent currency of the day, the ...
4
votes
0answers
404 views
Back office processing for FX trades
Can someone provide (or point me to) a summary of back office processing nuances specific to FX trading? For example, I know that there are several FX-specific risks that must be managed. They include ...
9
votes
2answers
203 views
Effective Euro-USD (EURUSD) Exchange Rate Prior to Euro's Existence
Motivation: I am running a quantitative analysis that requires long-term, exchange rate data.
Problem: Does anyone have methods for dealing with the EURUSD exchange rate prior to the Euro's ...
5
votes
2answers
547 views
FX Tick Data question
Anyone can tell me what the first column and the last column in this FX tick dataset mean? The first seems like some kind of ID, and what D in the last column mean?
368412956 AUD/CAD 12/30/2007 ...
11
votes
4answers
3k views
Is statistical arbitrage on FX possible?
Do you know of any papers which consider pairs trading (or statistical arbitrage) on foreign exchange? I couldn't find any. I asked this question on several forums and got no reply. Thus I guess this ...
4
votes
2answers
542 views
How to derive appropriate volatility for a binary option (with strike/term) from market data?
I am valuing a binary FX option (european) with a defined strike and term (2Y). I'm using a closed form solution based on Black-Scholes framework. How can I derive the appropriate volatility to use ...
9
votes
1answer
248 views
Currency Hedged ETFs
At work we were talking about currency hedging our equity index exposures but I am struggling to understand how this happens in a typical iShares ETF.
If we take the Japan ETF IJPN then we see this ...
