http://www.olsenblog.com/2010/04/how-to-hedge-currency-overlay/ Just another WordPress weblog Thu, 02 Feb 2012 04:53:16 +0100 http://wordpress.org/?v=2.8.6 hourly 1 http://www.olsenblog.com/2010/04/how-to-hedge-currency-overlay/comment-page-1/#comment-1761 HFT Blog » Blog Archive » How to hedge: currency overlay Fri, 04 Jun 2010 16:35:32 +0000 http://www.olsenblog.com/?p=519#comment-1761 [...] hedging improves the cost structure and makes hedging appear indispensable.Currency risk [...]Read More… [Source: OlsenBlog] [...] [...] hedging improves the cost structure and makes hedging appear indispensable.Currency risk [...]Read More… [Source: OlsenBlog] [...]

]]> http://www.olsenblog.com/2010/04/how-to-hedge-currency-overlay/comment-page-1/#comment-1751 richardo Wed, 02 Jun 2010 07:01:59 +0000 http://www.olsenblog.com/?p=519#comment-1751 Yes, definitely - scaling laws are the backbone of our methodology. They provide a frame of reference for any type of measurement. This is necessary, because the world and the financial markets in particular are 'dynamic', where there is no point fixed that could be used as an anchor for model building. Scaling laws are a substitute and represent a dynamic frame of reference. Yes, definitely – scaling laws are the backbone of our methodology. They provide a frame of reference for any type of measurement. This is necessary, because the world and the financial markets in particular are ‘dynamic’, where there is no point fixed that could be used as an anchor for model building. Scaling laws are a substitute and represent a dynamic frame of reference.

]]> http://www.olsenblog.com/2010/04/how-to-hedge-currency-overlay/comment-page-1/#comment-1729 Deevz Sun, 30 May 2010 16:38:15 +0000 http://www.olsenblog.com/?p=519#comment-1729 Interesting hedge methodology, albeit an apparent solid speculative methodology as well. Thank you for sharing this, I've stumbled upon your blog yesterday and it is a real jewel on the internet; the heterogenous market model and seasonality are all concepts I've thought about, and I find proofs of those concepts in your publications, which are all amazings. Back to the topic, I dare say you make extensive use of the scaling laws to determine market overshoot, is that right? Interesting hedge methodology, albeit an apparent solid speculative methodology as well. Thank you for sharing this, I’ve stumbled upon your blog yesterday and it is a real jewel on the internet; the heterogenous market model and seasonality are all concepts I’ve thought about, and I find proofs of those concepts in your publications, which are all amazings. Back to the topic, I dare say you make extensive use of the scaling laws to determine market overshoot, is that right?

]]> http://www.olsenblog.com/2010/04/how-to-hedge-currency-overlay/comment-page-1/#comment-1698 richardo Fri, 21 May 2010 14:53:10 +0000 http://www.olsenblog.com/?p=519#comment-1698 You raise an important point: the static and dynamic hedge require margin capital to fund the positions. If the foreign asset goes up in value, then the static hedge and temporarily also the dynamic hedge will be in a loss. The hedging strategy needs to be set up in such a way that the program has access to sufficient collateral. The details of implementation depend on the specific circumstance of the investor. You raise an important point: the static and dynamic hedge require margin capital to fund the positions. If the foreign asset goes up in value, then the static hedge and temporarily also the dynamic hedge will be in a loss. The hedging strategy needs to be set up in such a way that the program has access to sufficient collateral. The details of implementation depend on the specific circumstance of the investor.

]]> http://www.olsenblog.com/2010/04/how-to-hedge-currency-overlay/comment-page-1/#comment-1695 s5804 Fri, 21 May 2010 12:47:35 +0000 http://www.olsenblog.com/?p=519#comment-1695 First nice article. But also a naive question, what about if the dynamic hedge just accumulates enormous loss before the price turns around and in the worst case triggers a margin call? First nice article. But also a naive question, what about if the dynamic hedge just accumulates enormous loss before the price turns around and in the worst case triggers a margin call?

]]> http://www.olsenblog.com/2010/04/how-to-hedge-currency-overlay/comment-page-1/#comment-1689 Mark Brant Tue, 18 May 2010 03:44:36 +0000 http://www.olsenblog.com/?p=519#comment-1689 Elegant in theory and fantastic if it works in real FX market. Elegant in theory and fantastic if it works in real FX market.

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