 Nonlinear Investing: CurrencyLingjie Ma ()
Chapter Chapter 7 in Nonlinear Investing: A Quantamental Approach, 2025, pp 243-280 from Springer Abstract: Abstract The currency market is the largest financial market in terms of trading volume due to the extensive participation of companies, governments, and investors. In this chapter, we demonstrate how to apply a quantamental approach and nonlinear analysis to construct an alpha model and portfolio for thirteen major currencies of developed economies. As mentioned in the first chapter, history matters for quantamental analysis and especially for nonlinear investing. Following this guideline, in this chapter, we first introduce the modern foreign exchange (FX) market, focusing on its emergence, products, special features, trading platforms, and recent developments. We then explore fundamental and quantitative aspects of currency investing and present a linear and a nonlinear currency alpha model in sequence. The nonlinear alpha model through a quantamental approach adds about 25% value on an annual basis compared with a linear model. The chapter concludes by analyzing currency portfolio characteristics derived from the nonlinear alpha model, with a live currency product as the target. Date: 2025 There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it. Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-031-76305-2_7 Ordering information: This item can be ordered from DOI: 10.1007/978-3-031-76305-2_7 Access Statistics for this chapter More chapters in Springer Books from Springer |
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