Studies on Gold and its relationship with other financial variables

Abstract: Define as the currency of the last resort, gold has historically been
seen as the ultimate hedge against inflation. However, recent research has
founded that the commodity provides a unique source of diversification to an
investor’s portfolio. This study investigates the long-run relationship between
gold and a set of financial variables based on daily data from January 1990
to June 2016, then use this relationship as a fair value and see what sort of
interpretation we can do with the results.

Link ==> Gold Studies

Cointegration in Forex Pairs Trading

Forex pairs trading strategy that implements cointegration is a sort of convergence trading strategy based on statistical arbitrage using a mean-reversion logic. This strategy was first introduced by Morgan Stanley in the 1980s using stock pairs, but traders found that it could be used in FX trading as well.

It has been described as a profitable strategy, so the goal of this research (click link below) is to review the cointegration in the FX market using three different approaches – Engle-Granger, Johansen test and the Hurst exponent – with some application in Eviews and Bloomberg.

Link ==> cointegration-and-fx-trading