Adaptive Higher Even Moment Currency Trading Strategy
October 15, 2015 - Currency Trading, Volatility Effects
Are higher even moments of asset return distributions useful predictors of future returns? In the September 2015 version of her paper entitled “A Low-Risk Strategy based on Higher Moments in Currency Markets”, Claudia Zunft explores an adaptive currency trading strategy that exploits the predictive power of higher even moments of forward currency exchange rate returns. The strategy is each month… Keep Reading