| Publikationstyp: | Beitrag in Magazin oder Zeitung |
| Titel: | A statistical analysis of carry trading |
| Autor/-in: | Fritzmann, Siro Jaggi, David Osterrieder, Jörg |
| DOI: | 10.2139/ssrn.2993902 |
| Erschienen in: | International Finance eJournal |
| Erscheinungsdatum: | 2017 |
| Verlag / Hrsg. Institution: | Social Science Research Network |
| Sprache: | Englisch |
| Schlagwörter: | Exchange rate; Carry; Trading; Currency |
| Fachgebiet (DDC): | 337: Weltwirtschaft und Handel 510: Mathematik |
| Zusammenfassung: | Carry trading is one of the most popular currency trading strategies. The aim of this paper is to apply and analyze the approach described in Baz et al. (2015) by utilizing the G10 currency cross rates and the 3-month Libor rates. The carry trading strategy is well documented and widely used by several types of market participants. In a first step, the strategy is tested with generated data based on the CHF/USD currency pair and the carry signal is being analyzed. In a second step, the strategy was applied to a basket of 45 currency pairs consisting of all the possible combinations between the G10 currencies. The outcome shows that carry trading can be protable if traded under the right market conditions, which are stable interest rates and an appreciation of the traded currency cross rate. The Deutsche Bank Currency Harvest Index, which is a similar implementation of a carry trading strategy outbids the approach by Baz et al. (2015) for the analyzed time period. |
| URI: | https://digitalcollection.zhaw.ch/handle/11475/16860 |
| Volltext Version: | Publizierte Version |
| Lizenz (gemäss Verlagsvertrag): | Lizenz gemäss Verlagsvertrag |
| Departement: | School of Engineering |
| Organisationseinheit: | Institut für Datenanalyse und Prozessdesign (IDP) |
| Enthalten in den Sammlungen: | Publikationen School of Engineering |
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Fritzmann, S., Jaggi, D., & Osterrieder, J. (2017). A statistical analysis of carry trading. International Finance eJournal. https://doi.org/10.2139/ssrn.2993902
Fritzmann, S., Jaggi, D. and Osterrieder, J. (2017) ‘A statistical analysis of carry trading’, International Finance eJournal [Preprint]. Available at: https://doi.org/10.2139/ssrn.2993902.
S. Fritzmann, D. Jaggi, and J. Osterrieder, “A statistical analysis of carry trading,” International Finance eJournal, 2017, doi: 10.2139/ssrn.2993902.
FRITZMANN, Siro, David JAGGI und Jörg OSTERRIEDER, 2017. A statistical analysis of carry trading. International Finance eJournal. 2017. DOI 10.2139/ssrn.2993902
Fritzmann, Siro, David Jaggi, and Jörg Osterrieder. 2017. “A Statistical Analysis of Carry Trading.” International Finance eJournal. https://doi.org/10.2139/ssrn.2993902.
Fritzmann, Siro, et al. “A Statistical Analysis of Carry Trading.” International Finance eJournal, 2017, https://doi.org/10.2139/ssrn.2993902.
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