Introduction

After sailing through the early part of the crisis relatively unscathed, foreign exchange traders have had to weather a major squall in the currency markets in the past month. The dollar fell to 12-year lows against the yen in March, and dredged all-time lows against the euro in April.

The volatility in the forex markets has been good news for hedge funds - particularly those quantitative strategies that trade on movements in exchange rates and volatility. However, it's not been such good news fo

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