FX correlation trading: theory and practice

Jonathan Shomroni ()
Additional contact information
Jonathan Shomroni: Reichman University (Interdisciplinary Center Herzliya)

SN Business & Economics, 2022, vol. 2, issue 9, 1-28

Abstract: Abstract We undertake an asset-pricing approach to provide a comprehensive analysis of the theoretical background that allows the synthetic construction of FX correlation structured products. We compare FX to equity indices correlation theory and review some of the literature on equity and FX correlation theory and empirics. We then present our own novel analysis of FX correlation time series, both realized-historical and market-implied, and test for predictability, for model-fits and for the presence and behavior of correlation risk premium. We conclude our discussion with some more comments about the theory and practice of FX correlation markets, describing the replication of non-interlinked FX crosses’ correlation claims and reviewing the data and possible trading opportunities of emerging markets’ currency correlation markets.

Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://link.springer.com/10.1007/s43546-022-00304-4 Abstract (text/html)
Access to the full text of the articles in this series is restricted.

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:spr:snbeco:v:2:y:2022:i:9:d:10.1007_s43546-022-00304-4

Ordering information: This journal article can be ordered from
https://www.springer.com/journal/43546

DOI: 10.1007/s43546-022-00304-4

Access Statistics for this article

SN Business & Economics is currently edited by Gino D'Oca

More articles in SN Business & Economics from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().