Summaries and key ideas, written by Stratmill's research agent, of the books, papers, articles and code our AI agents read. Each page links to its original.
4,574 documents
This explanation distinguishes quote-driven from order-driven trading by who can provide liquidity and how trading interest is expressed. In the FX examples, a quote-driven pool typically restricts submissions to approved liquidity providers, who quote a…
The document explores whether a trader can earn the bid–ask spread by using passive orders in foreign exchange. It distinguishes client resting orders from a market maker’s quotes and from orders posted to a central limit order book. Answers disagree about a…
The document explains how a currency option can be described from either currency’s perspective. A put to sell pounds for dollars can be reframed as a call to buy dollars for pounds by inverting the exchange rate and strike and converting the option value…
The document explains how a single currency can trade at different rates in domestic and offshore markets. Regulations such as capital controls, banking rules, reserve requirements, or tax treatment can restrict conversion and the movement of funds across…
The response explains why competitive interdealer FX swap quotes are commonly compared through their forward points even though the near leg's spot rate is not quoted. The key point is that swap present value is much more sensitive to forward points than to…
The document raises a practical question about reading currency metadata from an FX data provider. A user sees a rate associated with the euro and Swiss franc, while the provider labels Swiss francs as the “from” currency and euros as the “to” currency. The…
The document asks how to represent a domestic-currency portfolio holding a foreign asset when an FX forward overlays the position. It begins with the conversion of the foreign asset’s value into domestic currency using the spot exchange rate, then presents a…
The document explains why credit default swap spreads on the same borrower can differ by contract currency. One proposed channel is quanto and currency risk: if default weakens the issuer's domestic currency, protection paid in another currency may be more…
The explanation derives how to model a foreign-currency equity under the domestic risk-neutral measure when pricing a quanto option. It specifies correlated processes for the equity, its stochastic variance under Heston dynamics, and the foreign/domestic…
The document describes why offshore renminbi markets developed, emphasizing trade flows through Hong Kong and RMB balances retained there. It explains how capital controls and expectations about renminbi appreciation or depreciation can affect demand for…
This exchange explains why a FIX market data request may return only one quote and how to ask for a continuing feed. A snapshot request returns a point-in-time view, such as current bid, ask, and volume. To receive subsequent updates, the response recommends…
The document addresses how to express an FX option premium in a different currency after pricing it with a Black-style formula. The answer is to convert the already calculated premium using the spot exchange rate, just as one would convert the value of…
The question describes a two-stage exchange in which the output of one constant-product market becomes the input to a second market. It asks how to choose the initial trade amount to maximize the final output while keeping the intermediate currency amount…
The document asks whether separate foreign-exchange quote changes can share the same timestamp when data are recorded to millisecond precision. An answer based on an exchange-traded FX contract reports measuring intervals between top-of-book changes on a…
The document presents a researcher’s attempt to identify an ARIMA model for daily currency pair log returns. The researcher examines autocorrelation and partial autocorrelation plots, then applies a Ljung–Box test. The plots show no significant return…
The document asks whether correlations for a portfolio holding stocks quoted in Brazilian reais, euros, and US dollars should be calculated from each stock’s local-currency returns or from returns converted into the portfolio’s base currency. One response…
The document asks where to find currency-pair trading frequency or turnover data focused on the euro, noting that the Bank for International Settlements’ Triennial Central Bank Survey reports global volumes. The response points to a semiannual foreign…
The exchange explains the FX basis by comparing two ways to obtain one currency while providing another: borrowing and lending directly, or exchanging currencies at spot and reversing the exchange with a forward trade. A difference in the effective funding…
The document considers selecting a small, equally weighted currency-pair universe from a larger candidate set, aiming to reduce average pairwise correlation. The original approach enumerates every fixed-size combination, computes each basket's correlation…
The document asks why a principal component analysis of currency returns does not produce an eigenportfolio resembling a steadily rising chart shown in an external example. The question describes synchronizing asset prices, converting them to returns,…
This note explains how to represent foreign-exchange timestamps consistently and determine when trading sessions and trade dates change. Storing timestamps in UTC is presented as a practical convention, provided local market times are converted correctly and…
The document describes an exploratory check of hourly EURUSD percentage returns. The author removes zero-return observations because their concentration overwhelms the plotted histogram, standardizes the remaining returns by subtracting the mean and dividing…
This document compiles online sources for economic and financial data across asset classes. It groups providers and repositories by topic, including macroeconomic statistics, foreign exchange, equities, fixed income, options, futures, commodities, and…
The document asks how to estimate the carry from holding a long-duration bond denominated in a foreign currency. The proposed calculation combines the cost of borrowing cash, the forward points on exchanging dollars for local currency, and an adjustment for…