Quantitative Finance Stack Exchange
Quantitative Finance Stack Exchange

Questions tagged [fx]

The foreign exchange market (forex, FX, or currency market) is a global, worldwide-decentralized financial market for trading currencies. Commonly traded instruments include spot, forward, swaps, futures, and options. The FX market is the most liquid financial market in the world. There is no unified or centrally cleared market.

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How do I eliminate developed currency funding cross rate risk in an EMFX position?

Back in the "old days" (ie 5-10 years ago) when we wanted to be long or short an emerging currency (say the ZAR, BRL, or TRY) we simply did everything against the pre-eminent currency of the day, the dollar. So for example to be long the Turkish…
Thomas Browne
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Interpolating FX forward points

When computing an FX forward rate for an expiry that is not explicitly quoted, it seems to me that a reasonable way to do it is log-linear interpolation of the two nearest outright forward rates, which would correspond to assuming continuous…
mpeac
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Distribution of profit/loss for retail traders in FX

I've heard that 90% of retail investors in FX lose money. I want to analyze this in more detail. Question: Is there some literature that describes the statistics of profit/loss for retail traders in FX? I would be interested to see the distribution…
Alexander Chervov
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Back office processing for FX trades

Can someone provide (or point me to) a summary of back office processing nuances specific to FX trading? For example, I know that there are several FX-specific risks that must be managed. They include transaction risk, translation risk, and short-…
Puneet Lamba
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Statistical models for exchange rates?

What stochastics processes (if any) are used to model currencies exchange rates and how good are such models ? References on subj. are also highly welcome.
Alexander Chervov
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Computing FX forward delivery dates

I'm looking for a precise definition of how FX outright delivery dates are computed. Chapter 1 of the book 'Foreign Exchange Option Pricing: A Practitioners Guide' (this chapter can be found here) outlines quite precisely the rules for calculating…
mpeac
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What is the actual instrument traded with retail FX brokers

This question may seem inappropriate for this StackExchange but it's the pricing and actual return dynamics that define the instrument so you guys seem the most knowledgeable on this topic. I was reviewing the different groups of the Classification…
rmrndr
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Why is spot FX standard if overnight forwards are available?

A spot FX transaction means agreeing to an FX rate to settle on a T+2 basis. Though there are transactions that deliver/settle overnight/T+1. Why is spot, therefore, the standard benchmark trade, and not overnight? Are there statistics on volume?
user9012838001293
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Why does graphic of log first difference of renminbi look similar to hkd?

This is CNY to US$: This is HKD to US$: Below are the log of the first difference of both graphs above: You can see that apparent similarity on the middle of graph. I thought that they were managed by different entity as CNY are managed by…
Firhat Nawfan H.
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Carry trade by trading FX Futures

FX carry trade is pretty clear to me when one's trading currencies physically. The return for this trade will depend on the interest rate you're paying for the USD borrowed, the foreign interest rate received by lending the foreign currency and…
SuavestArt
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How is a quanto priced?

How would one price a derivative denominated in EUR that pays in USD?
BlueTrin
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Forex Market Timezones

I need to store OHLC data from the Forex Market. I live in the UK which is presently in British Summer Time +1. The Forex Market EST, which is normally -5 from GMT. I'm not sure how Eastern Daylight time Affects things. I want to store the data…
reach4thelasers
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Is this type of currency index a thing already?

I was considering making some sort of free index data set that would basically attempt to estimate changes in the value of a currency against all other currencies. So I came to thinking if I took daily volume, and daily changes, summed dollar volume…
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What's the problem with simple EMA-crossover strategies?

I'm looking at charts of bitcoin here: https://bitcoinwisdom.com/markets/kraken/btceur with the option of displaying a short term as well as a long term EMA. It seems to me that if I were to buy bitcoin each time the short term EMA raises above the…
user18659
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What is delta neutral

Does delta neutral portfolio mean you add up deltas of all positions and the sum should be zero? Is this true? Also, in a FX portfolio consisting of FX calls puts and Fwds, if FWD delta is given for each how do you make the portfolio delta neutral?…
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