JP Morgan Chase launches short-term FX predictor

The US bank claimed tracking economic data surprises with the Easi is superior to traditional methods of reading the market, such as looking at fundamentals in absolute terms. Surprises are defined as economic data releases that differ from the consensus by 0.5 standard deviations for monthly and quarterly data, or one standard deviation for weekly releases like unemployment data.

After further statistical manipulation, the index is produced for six US dollar-based currency pairs and constructed to generate clear buy and sell signals for investors. The index is constructed from the previous six weeks' figures and updated after each key data release. Updates are then posted on the firm’s website and e-mailed to clients.

JP Morgan Chase found that almost all large dollar drops in the past few years have coincided with phases of pessimism, as defined by the Easi. By trading with the signals during the past five years, investors would have made annual returns of 8.2%, according to the US bank. Easi predicted dollar rallies 67% of the time and dollar falls 57% of the time.

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Stemming the tide of rising FX settlement risk

As the trading of emerging markets currencies gathers pace and broader uncertainty sweeps across financial markets, CLS is exploring alternative services designed to mitigate settlement risk for the FX market

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