Publication type: | Contribution to magazine or newspaper |
Title: | A statistical analysis of carry trading |
Authors: | Fritzmann, Siro Jaggi, David Osterrieder, Jörg |
DOI: | 10.2139/ssrn.2993902 |
Published in: | International Finance eJournal |
Issue Date: | 2017 |
Publisher / Ed. Institution: | Social Science Research Network |
Language: | English |
Subjects: | Exchange rate; Carry; Trading; Currency |
Subject (DDC): | 337: International economics and commerce 510: Mathematics |
Abstract: | 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 |
Fulltext version: | Published version |
License (according to publishing contract): | Licence according to publishing contract |
Departement: | School of Engineering |
Organisational Unit: | Institute of Data Analysis and Process Design (IDP) |
Appears in collections: | 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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