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 ...

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2answers
37 views

What software should I use for forex arbitrage?

These are my requirements: Speed of lookup & update Speed of crunching large numbers and combinations The exchanges I want to connect to will mostly provide json feeds to their orderbooks & ...
1
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1answer
93 views

Analysing FX Data

When analysing currencies, the data always comes in pairs so it is hard to normalise a multivariate time series of data e.g. if I have GBPvsUSD, EURvsUSD and CADvsUSD then changes in the US economy ...
1
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3answers
144 views

Estimate of fx trading volume

I understand that there are no official figures of fx trading volume per currency, but are there any good estimates? Is there any fx exchange that is particularly forthcoming with its volume data, ...
2
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1answer
35 views

Correlation Multiple Currencies

If i have a portfolio of stocks from different currencies and i want to generate a correlation matrix from the stocks, how is the correct procedure ? Imagine a portfolio which the base currency is ...
3
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3answers
71 views

Modelling currency exchange rates timeseries data across re-denomation dates

I am working with data for an exotic currency, that has been re-denominated a couple of times during the twenty years of data that I have. What is the best way of 'normalising' the data, so that I ...
0
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2answers
114 views

Intermarket analysis - related time series?

I'm about to embark on training a neural network on daily forex data, with a view to obtaining a predictive network. I'm also interested in using data other than the forex currency pair data itself, ...
2
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1answer
49 views

hedging with a 3 month fx forward every month

I think this is a bit odd question. Let us say I want to hedge my fx exposure every month but using 3 month forwards . How can I do that ? Is it not easy just to use 1 month forwards ? I recalculate ...
1
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1answer
157 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 ...
1
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2answers
31 views

Impact of NZD mid-day EST Roll forward

Was taking a look at an NZD spot deal that was traded on a Friday for value the following Tuesday (t+2). Somehow this trade became classified as a forward by our back office systems (dealer says they ...
1
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2answers
234 views

where can i get data for foreign exchange order flow

I need data for my thesis research on liquidity of foriegn exchange for order flow (aggregated daily) per currency traded for a period over the last 10-15 years. help!!
1
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2answers
177 views

Exchange rate model and Martingales

In exchange rate model explanation, "...If under the domestic risk neutral measure $Q_d$, the process $X(t)$ satisfies $\displaystyle \frac{dX(t)}{X(t)}=\sigma dZ_d(t)$ Since $Z_d(t)$ is ...
5
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1answer
565 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 ...
5
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1answer
62 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 ...
0
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0answers
45 views

Negative Risky vs Negative Butterfly

I understand that in regard to FX options, a volatility smile with negative Risk Reversals is effectively indicating that the spot market for a given currency pair is in decline (puts over). In ...
2
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1answer
61 views

How does trade deficit affect the economy of a country

How does trade deficit for a prolonged period(say 10-15 years) affect a country's economy? I have read that it should affect it adversely, but the US trade deficit has been negative since the mid ...
2
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1answer
410 views

Are there Python algorithmic trading libraries supporting forex?

I know about zipline and ultrafinance, but as far as I know, they don't support fx trading. Which libraries do?
4
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3answers
107 views

Transaction Costs for Currency Pairs

I have been aggregating some tick data from Oanda's streaming API to try and get an idea of the relative cost and best time to trade different currency pairs. The idea was to plot the spread of the ...
5
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1answer
334 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 ...
2
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2answers
99 views

How current prices is formulated in markets?

I can't understand how immediate prices are formulated in stock & currency (Forex) markets. I have been informed that every tick means one new deal that closed in current price, but this can't be ...
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4answers
2k views

C# Broker API for FX Trading

I am looking for a broker who provides a free trading API for FX. The goal is to develop at-home algorithms in C# (possibly Qt) to run on a fake portfolio, and then later on real money with ...
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2answers
182 views

Forex brokers with free API compatible with Node.js

I have a Forex trading signal generator written in Node.js and now I am looking for a Forex broker with a free Node.js compatible API. The requirements are simple: be able to send new trade orders ...
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0answers
51 views

VaR mapping - Forward Foreign Currency Contract

I have a question about VaR mapping for FX forwards. Please bear with me while I outline the problem. Philippe Jorion's book discusses VaR mapping; a means to break down complex instruments into ...
0
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1answer
59 views

Forex Fundamental Data Sources [duplicate]

What are the best sources to find free Forex historical Fundamental Data in a .csv format?
0
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1answer
59 views

Forex trades: what time zone are trade and value dates specified in?

When receiving a value date of D from the counterparty for a trade in NZD/USD, is D assumed to be date D in Auckland date D in New York date D in UTC date D in some arbitrary time zone ? There ...
1
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1answer
75 views

FX Rate dynamics

Let's suppose USD/EUR price in USD follows a GBM with $$ dS_t = rS_tdt + \sigma S_tdW_t $$ What process does EUR/USD follow in EUR?
5
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1answer
133 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 ...
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3answers
91 views

How often do banks update forward points?

My understanding is that forward rates are calculated by comparing interbank interest rates of the 2 currencies for a currency pair, with the points being the difference between spot and the forward ...
1
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1answer
77 views

What is a good index to track short term interest rates?

This is an FX question. I want to track short term (overnight or next best thing) rates for major/em ccys. What's the best way of doing this? Is there an index I can follow? Preferably something ...
2
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3answers
998 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 ...
0
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2answers
99 views

How to obtain specific information on FX trading systems?

I'm trying to compare trading venues using a quantitative product selection matrix (and eventually software vendors using a different matrix specifically for vendors), and I was wondering if anyone ...
2
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2answers
343 views

What Forex Services support the ForexConnect API?

I need API access to get ForEx tickers and order books for currency pairs. From what I can tell there is a .Net API called ForexConnect which I can use to get this data. Now where can I get this data ...
0
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1answer
154 views

the law of comparative advantage and exchange rate

I'm reading Steven N. S. Cheung 's "Economic Explanation" (2001). In vol 2 ch 2 section 2, he mentions Comparative Cost, or "the law of comparative advantage". after quoting the britain/spain ...
0
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0answers
50 views

why does graphic of log differenced of renminbi look similar to hkd?

this is CNY to US$ this is HKD to US$ while below are the log differenced of both graph above you can see tha apparent similarity on the mid of graph i thought that they were managed by ...
1
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1answer
2k views

Implied interest rate from FX swap

This is not homework. I am trying to calculate the implied interest rate of one currency (C2) using an FX swap and the interest rate of another currency (C1 - base). I have the following: Spot: ...
1
vote
1answer
490 views

VaR for FX forwards

I am trying to figure out some of the commonly used approaches to deal with FX forwards (in a currency portfolio containing spots, forwards and swaps) that would allow me to calculate the one day VaR ...
8
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3answers
1k views

how do you evaluate an FX market EMS?

My firm is investigating FX EMS systems to see if we can reduce execution costs for our trading strategies that involve FX (not low latency). The liquidity providers are a few major banks. We're ...
3
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3answers
240 views

How to most optimally perform currency conversions when backtesting on portfolio level?

I am currently expanding my own strategy profiling and testing platform which partly consists of a portfolio backtesting module. The backtest engine processes tick based data (quotes for currencies, ...
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1answer
75 views

Total number of currency transactions [closed]

All of the Forex volume/transactions are always reported in total dollar amount. I am interested in the number of individual trades. Where can I find this? Granularity doesn't matter, ...
1
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0answers
638 views

Models for simulating FX movements

My goal is to develop a model to simulate long term FX movements. (I am not sure if long term makes any difference, but if it does I am more interested in long term fx movements) These Monte Carlo ...
7
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2answers
2k views

Why using 3 months forward to hedge fx risk on a fund of funds portfolio?

In my previous job, a fund of funds, they used 3 months forward FX contracts (renewed every 3 months) to protect their portfolio against currency risk. If I do understand why forwards are useful for ...
1
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1answer
210 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 ...
3
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2answers
553 views

Statistical models for exchange rates?

What stochastics processes (if any) are used to model currencies exchange rates and how good are such models ? References on subj. are also highly welcome.
2
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1answer
355 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 ...
1
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0answers
83 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 ...
4
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0answers
274 views

compute time from FX forward, how use DEPO rates?

assume I have following delta-term vol data from broker: ...
9
votes
2answers
275 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 ...
2
votes
0answers
163 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
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1answer
210 views

compute FX forward from broker's data

assume I have following delta-term vol data from broker: ...
0
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1answer
176 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 ...
11
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2answers
5k 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 ...