ANANTA: A Systematic Quantitative FX Trading Strategy

20 Pages Posted: 2 Apr 2014 Last revised: 29 May 2014

Date Written: April 1, 2014

Abstract

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

Georges, Nicolas, ANANTA: A Systematic Quantitative FX Trading Strategy (April 1, 2014). Available at SSRN: https://ssrn.com/abstract=2419243 or http://dx.doi.org/10.2139/ssrn.2419243

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