A Trading Strategy by Connecting Equity and Foreign Exchange Markets Through the WM Fix
A discussion led by,
Execution at the Fix (WM/Reuters benchmark exchange rate) is a service offered by brokers provided they obtain the trade order before 4pm GMT. We examine the relationship between equity and foreign exchange markets and discover an anomaly between equities and foreign exchange markets during this window. We develop an algorithmic trading strategy to exploit this anomaly and evaluate the efficacy of various statistical machine learning techniques in executing the trading strategy. Our most optimal simulated strategy produced an out-of-sample annual cumulative return of 4.02% and an annualized Sharpe ratio of 3.43.
Arnav currently teaches mathematics at Concourse at the Massachusetts Institute of Technology, in Cambridge, MA, and strategic finance at Minerva, an innovative, remote-only, higher-education institution. He is also an associate professor (on leave) and director of the MS Finance program at Saint Mary’s College of California, in Moraga, CA, where he teaches courses on derivatives, corporate finance, investment management, and quantitative methods to working executives enrolled in the MBA, and MS Finance programs.
In his time not teaching and administrating, he enjoys researching areas at the cusp of academia and the practitioner world. He has several publications in journals such as the Journal of Investing, the Journal of Investment Strategies, Computational Economics, and more. He published his first book – Optimal Operating Strategies Under Stochastic Cash Flows – in 2011.
He consults with industry via his firm, Gaji Analytics, and is currently a Research Adviser to BrightQuery, a startup in the alternative data space. He has a PhD in quantitative finance from Rutgers University, and has an Erdös number of 2.
Time: 7:00 PM sharpe
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Donna Cool Murphy
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