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- W2770290986 abstract "We examine the relationship between equity and foreign exchange markets at, and around, the WM/Reuters benchmark exchange rate known as the the 'Fix'. Execution at the Fix is a service offered by brokers provided they obtain the trade order before 4pm GMT. We have three main goals with this paper: (i) to show a connection between equities and foreign exchange markets via this window; (ii) to leverage this connection using an algorithmic trading strategy; and (iii) to rank various statistical techniques used to make predictions for trading. We are successful in all three endeavors with the best technique producing an out-of-sample annual cumulative return of 4.02% with an annualized Sharpe ratio of 3.43." @default.
- W2770290986 created "2017-12-04" @default.
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- W2770290986 date "2017-01-01" @default.
- W2770290986 modified "2023-09-26" @default.
- W2770290986 title "Leveraging Herd Behavior in Foreign Exchange Markets" @default.
- W2770290986 doi "https://doi.org/10.2139/ssrn.3069629" @default.
- W2770290986 hasPublicationYear "2017" @default.
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