Connecting equity and foreign exchange markets through the WM “Fixâ€: a trading strategy

Arnav Sheth and Keisuke Teeple

Journal of Investment Strategies

Abstract: The authors;examine the relationship between equity and foreign exchange markets at and around the WM/Reuters benchmark exchange rate known as the “Fix†. Execution at the Fix is a service offered by brokers, provided they obtain the trade order before 16:00 GMT. In this paper, the authors show the connection between equities and foreign exchange markets via this window, they;leverage this connection using an algorithmic trading strategy and rank various statistical techniques used to make predictions for trading based on their investment results. The best technique produces an out-of-sample annual cumulative return of 4.02% and an annualized Sharpe ratio of 3.43. This strategy is for illustration only.

References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.risk.net/journal-of-investment-strateg ... x-a-trading-strategy (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:rsk:journ6:7469181

Access Statistics for this article

More articles in Journal of Investment Strategies from Journal of Investment Strategies
Bibliographic data for series maintained by Thomas Paine ().