巴黎银行-全球-量化策略-全球宏观量化策略研究-20190805.pdf

《巴黎银行-全球-量化策略-全球宏观量化策略研究-20190805.pdf》由会员上传分享，免费在线阅读，更多相关内容在行业资料-天天文库。

1、FLASH

2、GLOBAL5August2019™MACROQUANTSTRATEGY

3、G10FXGBPshortsextendtoascoreof-37,drivenbytheBuySellPressurecomponentbuildingextremeGBPshorts.USDshortsunwindtoascoreof-5,withtheIMMandBNPPTrendingIndicatorcomponentsturningpositiveonUSD.JPYandCHFlongsextendtoscoresof+28and+19

4、respectively.AUDshortsbuildtoascoreof-27,whileNZDpositioningshiftsfromamoderatelongtoanegativescoreof-9.SEKshortscontinuetoextend,whileNOKpositioningisnownetshortwithascoreof-8.Fig.1:BNPParibasFXPositioningAnalysis–overallpositioning*SHORTLONGJPY28CAD21CHF19-505-Aug-201

5、9USDEUR-729-Jul-2019NOK-8NZD-9SEK-27AUD-27GBP-37-50-40-30-20-1001020304050Source:BNPParibas*ThepositioningscoresabovearereportedasaFXFundBNPPBuySellClientRiskpercentilebasedonthepriorfiveyearsofdata.ExposureIMMReversalsPositionTrendingPressureThesepercentilesarerescaledto

6、giveavalueTracker**Indicatorbetween−50and+50.Valuesabove40andbelow62-22-212-27USD−40representextremepositions.-5-1-25-8-3-2EURTointerpretascoreof−27,forexample,add50to2426-4344149JPYgive23.Thistellsusthat23%ofobservationsover-40-48-35-22-37-41GBPthepastfiveyearshavebeenbe

7、lowthecurrentobservation.14-5-11313747CHF123942-383931CAD**FollowingthediscontinuationoftheBTOPFX1-35-2-50-34-42AUDIndex,theseriesusedintheFXFundPosition-26-2842-5017NZDTrackerhaschangedtotheParkerGlobalCurrency36-15-50-30-11NOKManagerIndex.Pleasecontactusforfurtherdetail

8、s.-28--8-40-25-32SEKClientexposure–Internalsalesdesks’estimateofFXinvestorexposure.IMM–Thecommitmentoftraders(COT)isawidelyusedproxyforUS-basedhedge-fund/CTAactivity.Riskreversals–Riskreversalsindicatetherelativepriceofcallsrelativetoputs,andthusincorporateanoption“mar

9、ketsentiment”.FXFundpositiontracker–Regressionbaseddecompositionofcurrencyfundpositioning.BNPPtrendingindicator–Atechnicalmeasureofthestrengthofacurrency’smomentum.Buysellpressure–Anindicatorofpricemomentumanddirectionthatutilisestickdata,aggressorinformationandpricemo

10、vements.Theoverallcurrencyscoreisthencalculatedastheequally-weightedaverageofthecomponentsMichae