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TZXคิดถึง · 2023年05月10日

可以介绍一下这道题涉及的几个知识点吗?

NO.PZ2023041102000022

问题如下:

Thibodeaux notes that while fundamental-based models are useful in explaining longer-term trends in exchange rates, they are of limited value when it comes to explaining short-trends. He explains:

“Technical analysis, as well as order flow, sentiment, and positioning indicators have been more successful for short-term exchange rate forecasting,”

The discussion of short-exchange rate forecasting continues with the following comments:

Beauregard:“Technical analysis is not likely to benefit our emerging market trades because the currencies are thinly traded.”

Thibodeaux:“Utilizing trend following in our carry trade strategy should protect us from experiencing losses in a market unwind.”

Beauregard:“Monitoring market sentiment by following the trend in risk reversals should enable us to predict and confirm currency rate movements on our trades.”

Which of the comments about short-term exchange rate forecasting is the most accurate? The comment by:

选项:

A.Beauregard regarding their emerging market trades. B.Beauregard regarding monitoring market sentiment. C.Thibodeaux regarding their carry trade strategy.

解释:

Thibodeaux’s comment about the carry trade strategy is the most accurate. Although carry trade strategies can generate attractive returns over long periods, the distribution of the returns suggest that carry trades are sometimes prone to significant downside tail risk during carry trade unwinds. Thus, a trend-following trading system overlaid on a carry trade strategy could warn investors to step aside during unwinds.

可能是我听漏了,这道题的知识点在哪儿?这几种方法都是怎么操作的?是说carry trade在短期要注意哪些方面吗?

1 个答案
已采纳答案

笛子_品职助教 · 2023年05月12日

嗨,从没放弃的小努力你好:


可能是我听漏了,这道题的知识点在哪儿?

这是2017年的Mock题,这道题的知识点在2017年的考纲中,2017年讲到了汇率的技术分析这个知识点,现在的考纲已经把汇率的技术分析给删了。


这几种方法都是怎么操作的?

所以关于汇率的技术分析,就不用去看了。


是说carry trade在短期要注意哪些方面吗?

但是这道题除了涉及汇率的技术分析,也有carry trade,所以出于练习carry trade的需要,这道题也列了出来。


我们看三个评论:

博瑞德:“技术分析不太可能有利于我们的新兴市场交易,因为货币交易量很小。”

技术分析反而对于新兴市场尤其有用,这是以前原版书结论。

就和做股票一样,发达国家,技术分析几乎没用了。但是发展中国家,市场不够有效,技术分析还有用。

所以这句话不对。


锡伯杜:“在我们的套利交易策略中利用趋势跟踪应该可以保护我们在市场放松时免受损失。”

这句话正确。

carry trade总体均值回归

趋势跟踪总体是趋势发散。

因此做均值回归的carry trade的时候,一旦出现不回归,趋势发散的情形,就可以用趋势跟踪的利润来弥补carry trade的损失。


博瑞德:“通过跟踪风险逆转的趋势来监测市场情绪,应该能够使我们预测和确认交易中的汇率变动。”

用call option value - put option value,这是风险逆转,用这个趋势来预测汇率的变动。这个预测不对。

这只是确认汇率的趋势,并不能做预测。


这道题同学跳过也可以。

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虽然现在很辛苦,但努力过的感觉真的很好,加油!

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