Journal of Investment Strategies

Risk.net

Connecting equity and foreign exchange markets through the WM “Fix”: a trading strategy

Arnav Sheth and Keisuke Teeple

The authors examine the relationship between equity and foreign exchange markets at and around the WM/Reuters benchmark exchange rate known as the “Fix”. Execution at the Fix is a service offered by brokers, provided they obtain the trade order before 16:00 GMT. In this paper, the authors show the connection between equities and foreign
exchange markets via this window, they leverage this connection using an algorithmic trading strategy and rank various statistical techniques used to make predictions
for trading based on their investment results. The best technique produces an out-of-sample annual cumulative return of 4.02% and an annualized Sharpe ratio of 3.43.
This strategy is for illustration only.

To continue reading...

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here: