29
Apr
10

Pair Trading, Dolar-Euro

FT Alphaville tiene un post dedicado a los modelos quants (pair trading aplicado al tipo de cambio euro/dolar) y a su impacto -via trading– en la zona euro.

(…) Funds trading the Euro-US dollar (EURUSD) typically use a pair trading technique pinched from equities trading models. The currencies model buys EURUSD on a statistical dip below the level of EURUSD implied by the 2-year swap spread. In other words, it assumes a mean reversion between the swap spread and the currency pair. (…) a start it’s been forcing the EURUSD to trade within a very specific range (…) Plus, the swap spread hasn’t decreased by very much since Germany continues to do reasonably well — or at least better than Greece and its porcine brethren.

El articulo cita palabras team de monedas del BNP Paribas, con respecto a este tema

EURUSD is currently traded by four main classes of investors:1. Importers/exporters who have had a non-negligible impact in keeping EURUSD from moving lower 2. Macro hedge funds which had expressed their bearish credit view on EMU via EURUSD bearish positions 3. Systematic funds who trade EURUSD in deviation to the 2 year EURUSD swap spread 4. Central Bank and Sovereign Wealth Funds which have generally under-invested in EUR and likely USD and behave as a mix of macro and systematic funds. The net impact of this activity has been to temporarily block the downward path of EURUSD, a tragedy for EMU as it has accelerated the next wave of the sovereign crisis and triggered the Greece rescue package.

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