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
The document examines a stochastic differential equation for an exchange rate quoted as domestic currency per unit of foreign currency. It asks whether a rise in the domestic interest rate should strengthen the domestic currency and push that quoted rate…
The document explains how to separate price and currency effects when a commodity forward is denominated in euros but the company reports in dollars. It shows that multiplying the commodity-price change by the exchange-rate change alone misses the separate…
The document asks whether GBP/USD daily closes are equally likely to rise or fall, then tests whether daily direction depends on the close’s position relative to a 200-day exponential moving average. It counts up, down, and unchanged days overall, and…
The question explores whether a trend-following system’s moving-average period can adapt to changing market conditions, as a stop distance might adapt using volatility. The author compares results for a fixed system across two EUR/USD historical periods,…
The document collects suggestions for obtaining historical and real-time intraday foreign-exchange data, with EUR/USD as the motivating example. It points to downloadable historical tick data, platform exports of historical bars or ticks, and broker or…
The document clarifies the cash-flow direction of an FX swap that sells euros for dollars at the near date and buys euros back at a higher forward exchange rate. Because EUR/USD is quoted as dollars per euro, the higher far-leg rate means paying more dollars…
The document frames a research question about whether Markov-switching multifractal models are suitable for detecting volatility regime shifts in foreign exchange rates across multiple time horizons, and whether newer models improve on them. It lists the…
The document examines how to recover 25-delta put and call strikes from FX option market conventions: at-the-money volatility, risk reversal, and butterfly quotes. It gives a numerical example from a published paper and compares the reported strikes with…
The document explains why percentage changes in two reciprocal exchange-rate quotes are not equal in magnitude. If one currency pair is quoted as the reciprocal of another, the second quote must be inverted at both the starting and ending observations. The…
The question examines whether binary options can be represented in a Forex backtest. The trader describes tracking virtual up or down bets with an expiry and stake, then counting wins, and asks about proposed alternatives: using take-profit and stop-loss…
The document compares sources for near-real-time market data, focusing on foreign exchange and U.S. equities. It describes Oanda’s practice-account API as a way to stream live FX prices, with a limit on the number of currencies streamed at once, and notes…
The document explains why an FX volatility surface for an inverted currency pair cannot generally be built by simply swapping quoted call and put volatilities. Delta is defined relative to the option’s notional and hedge currency, so expressing the same…
The document presents two views on using a target redemption forward (TARF) to hedge foreign exchange exposure. One view emphasizes the knockout feature: if the exchange rate moves substantially against the underlying exposure, the TARF may terminate,…
The document considers how to represent major currency pairs together as a connected data structure, rather than analyzing each pair as an isolated time series. The proposed “pentahedron” concept is reframed as a weighted graph: currencies are nodes and…
The document explains why currency pairs can have different volatility by treating an exchange rate as relative exposure to two currencies. A pair’s risk cannot be attributed to either currency in isolation from that pair alone. Comparing a third currency…
The document outlines a practical estimate for the yield on a US Treasury bond hedged into euros. For a quarterly hedge, the notional is set slightly above the bond’s current value to reflect the expected increase in bond value over the hedge period. The…
The document explains why changing the time-zone argument in an Interactive Brokers historical-data request may not change returned forex bars. One answer says the bar time zone follows the setting chosen on the Trader Workstation login screen, which may…
The document discusses ways to frame computational finance as a computer science master's thesis. Suggested directions include building investment recommendations from time-series regression models, evaluating predictive performance with machine learning on…
The note considers the foreign-exchange exposure of a basis swap denominated in a currency different from an investor’s reporting currency. It clarifies that the swap can carry second-order FX risk through changes in its mark-to-market, even when the initial…
The document examines an apparent price discrepancy between two forex brokers: buying a currency pair at one venue and selling it at another. Although the offsetting positions can create a net-flat exposure to the underlying currency, the quoted spread is…
The document raises a modeling question about simulating a currency pair with geometric Brownian motion when the asset is assumed to respond to relative economic performance. It proposes using the difference between the two countries’ GDP growth rates as the…
The document asks whether the Herfindahl-Hirschman Index can measure concentration in an FX portfolio built from currency pairs that share USD as a leg. It focuses on the complication that Markowitz portfolio weights may be negative, using a short USDJPY…
This derivation shows how to price an option on the XAG/GBP exchange rate when the more liquid hedge instruments are XAG/USD and GBP/USD. It writes the target exchange rate as the ratio of those two USD rates and models both as correlated geometric Brownian…
The document explains how Bloomberg ticker suffixes distinguish types of financial instruments when requesting historical data in Excel. It identifies the currency suffix for swap rates, the commodity suffix for futures, and the index suffix for money market…