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Foreign Exchange

Markets

Optimization methods for entry and exit points in relative value trading

Download PDF Introduction In this article, we explore how optimising entry and exit points can improve the performance of mean reversion strategies, specifically within a purchasing power parity (PPP) framework. We address this optimisation challenge, by exploring two complementary approaches: a theoretical model-based approach and a numerical method. Due to Read more…

By BSIC, 2 months13 April 2025 ago
Markets Old Articles

The Death of FX Volatility, What’s Next?

Download as PDF Introduction Over the past few years, volatility in the foreign exchange markets has entered a marked downward trend, which ultimately culminated with the signing of the US-China Phase One trade deal in January 2020. This descending movement has characterised both Developed and Emerging Markets currency pairs and Read more…

By BSIC, 5 years23 February 2020 ago

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