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- W3123787326 abstract "A large class of trading strategies focus on opportunities offered by the yield curve. In particular, a set of yield curve trading strategies are based on the view that the yield curve mean-reverts. Based on these strategies' positive performance, a multiple pairs trading strategy on major currency pairs was implemented. To improve the algorithm's performance, machine learning forecasts of a series of pertinent macroeconomic variables were factored in, by optimizing the weights of the trading signals. This resulted in a clear improvement in the APR over the evaluation period, demonstrating that macroeconomic indicators, not only technical indicators, should be considered in trading strategies." @default.
- W3123787326 created "2021-02-01" @default.
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- W3123787326 date "2017-05-22" @default.
- W3123787326 modified "2023-09-22" @default.
- W3123787326 title "Using Macroeconomic Forecasts to Improve Mean Reverting Trading Strategies" @default.
- W3123787326 hasPublicationYear "2017" @default.
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