systematic strategy – BSIC | Bocconi Students Investment Club

What works today might not work tomorrow: overview of a Systematic FX Strategy

Download PDF Introduction One of the main drivers of foreign exchange rates is the change in current and expected interest rates, influenced by central banks’ forward guidance and economic releases. In this article, we explore a paper by Nicolas Georges (2014) and implement a systematic FX strategy on G10 currencies, Read more…

By BSIC, 2 years26 November 2023 ago

Markets

Systematically Trading Volatility Spreads

Download PDF Introduction The following article is heavily inspired by the paper “Investment Strategies with VIX and VSTOXX” (Stanescu, Tunaru, 2012) which analyzed different volatility trading strategies. The strategies are either based on a simple signal or the forecasting of spreads through GARCH models. After analyzing a more recent dataset Read more…

By BSIC, 3 years25 September 2022 ago