6
votes
2answers
134 views

Looking for Research Paper on Creation of Currency Baskets

I came across a paper, not sure it originated from academia or a blog or such, that reported on applying principal components to build currency baskets from a set of individual currency pairs and to ...
6
votes
2answers
1k views

Why does this Co-integrated basket look too good to be true?

You need quantmod & tseries in R to run this: ...