ANANTA: A Systematic Quantitative FX Trading Strategy
20 Pages Posted: 2 Apr 2014 Last revised: 29 May 2014
Date Written: April 1, 2014
This paper is the first of a series that aims to study in detail the ANANTA strategy, a short term systematic FX model using fixed income signals. We will focus in this part on outlining the context and an initial basic implementation of the methodology, from trading hypothesis to signal construction and results.
Keywords: interest rates, differential, momentum, systematic, quantitative, FX, strategy, currency, premium, tactical, Allocation, GTAA, trading, proprietary, Hedge, Volatility, Alpha, Beta, Efficient Markets, G10, G4, euro, dollar
JEL Classification: C00, C10, C50, G00, G11
Suggested Citation: Suggested Citation