32页 外汇交易策略深度研究报告

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1、MainContributorsCurrencyStacyWilliamsHeadofFXQuantitativeStrategyFXQuantitativeStrategyHSBCBankplc+442079915967QuantSpecialNovember2010stacy.williams@hsbcgroup.comStacyWilliamsisDirectorofQuantitativeFXStrategy.Hisresponsibilitiesincludeproducingquantitativeresearch,advisin

2、gonthedevelopmentofcurrencyoverlayprogramsandtheconstructionofbespokehedgingstrategies.Stacyisalsoresponsibleforproprietarymodeltrading,concentratingonmodelsbasedontransactionalflowinformation,highfrequencypricedataandeconomicactivitydata.DanielFennFXQuantitativeStrategistH

3、SBCBankplc+442079915003dan.fenn@hsbcib.com‘Riskon–riskoff’:thefullstoryDanisaquantitativeFXstrategistbasedinLondon.BeforejoiningHSBCin2009,DanwasstudyingforaPhDattheUniversityofOxford,researchingincollaborationwiththeHSBCFXStrategyteam.MarkMcDonaldFXQuantitativeStrategistHS

4、BCBankplc+442079915966mark.mcdonald@hsbcib.comMarkisaquantitativeFXstrategistbasedinLondon.HejoinedHSBCin2005.Beforejoiningthecompany,heobtainedaDPhilfromOxfordUniversity,researchingincollaborationwiththeHSBCFXStrategyteam.MarkhasanMPhysinPhysics,alsofromOxfordUniversity.Da

5、vidBloomGlobalHeadofFXResearchHSBCBankplc+442079915969david.bloom@hsbcib.comDavidistheGlobalHeadofForeignExchangeStrategyforHSBC.HehasbeenwiththeGroupsince1992.Beforetakinguphiscurrentpost,specialisingincurrenciesandmarketstrategies,DavidwastheUSeconomistfortheBank.Healsoha

6、sworkexperiencewithinequitymarketsandanalysingtheUKeconomy.PaulMackelDirectorofCurrencyStrategyHSBCBankplc+442079915968paul.mackel@hsbcib.comPaulisseniorcurrencystrategistcoveringtheG10currencymarkets.HejoinedHSBCinJune2006andisbasedinLondon.Priortojoiningthecompany,Paulwor

7、kedinsimilarrolesforotherfinancialinstitutions.HeisaregularcontributortotheFXstrategypublications.DisclosuresandDisclaimerThisreportmustbereadwiththedisclosuresandanalystcertificationsintheDisclosureappendix,andwiththeDisclaimer,whichformspartofitCurrencyabcFXQuantitativeSt

8、rategy10November2010OverviewInrecentmonths,wehavebeenanalysingthecorrelationsofret