Petra Wikstrom

Streamline Analytix LLC

New York, NY 10011

United States

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Scholarly Papers (1)

1.

Retaining Alpha: The Effect of Trade Size and Rebalancing Frequency on FX Strategy Returns

CESifo Working Paper No. 8143
Number of pages: 49 Posted: 11 Mar 2020
CESifo (Center for Economic Studies and Ifo Institute)University of California, San Diego (UCSD) - Rady School of Management, Columbia University - Columbia Business School and Streamline Analytix LLC
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Citation 2

Abstract:

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transaction costs, FX microstructure, exchange rates, portfolio construction