This is a summary of links featured on Quantocracy on Saturday, 05/12/2018. To see our most recent links, visit the Quant Mashup. Read on readers!
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Using yield curve information for FX trading [SR SV]FX carry trading strategies only use short-term interest rates (and forward basis) as signal. Yet both theoretical and empirical research suggests that the whole relative yield curve contains important information on monetary policy and risk premia. In particular, the curvature of a yield curve indicates to some extent the speed of adjustment of the short rate towards a longer-term yield.