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dc.contributor.authorFritzmann, Siro-
dc.contributor.authorJaggi, David-
dc.contributor.authorOsterrieder, Jörg-
dc.date.accessioned2019-04-24T12:55:30Z-
dc.date.available2019-04-24T12:55:30Z-
dc.date.issued2017-
dc.identifier.urihttps://digitalcollection.zhaw.ch/handle/11475/16860-
dc.description.abstractCarry 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.de_CH
dc.language.isoende_CH
dc.publisherSocial Science Research Networkde_CH
dc.relation.ispartofInternational Finance eJournalde_CH
dc.rightsLicence according to publishing contractde_CH
dc.subjectExchange ratede_CH
dc.subjectCarryde_CH
dc.subjectTradingde_CH
dc.subjectCurrencyde_CH
dc.subject.ddc337: Weltwirtschaft und Handelde_CH
dc.subject.ddc500: Naturwissenschaften und Mathematikde_CH
dc.titleA statistical analysis of carry tradingde_CH
dc.typeBeitrag in Magazin oder Zeitungde_CH
dcterms.typeTextde_CH
zhaw.departementSchool of Engineeringde_CH
zhaw.organisationalunitInstitut für Datenanalyse und Prozessdesign (IDP)de_CH
dc.identifier.doi10.2139/ssrn.2993902de_CH
zhaw.funding.euNode_CH
zhaw.originated.zhawYesde_CH
zhaw.publication.statuspublishedVersionde_CH
Appears in Collections:Publikationen School of Engineering

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