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 Study
Excel data ===> LastGoldData
Abstract: 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. The goal of this research 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. One fundamental property that pairs trading requires is that the instruments have to be cointegrated in order to ensure a connection between two FX currency pairs.
Link ===> FX Cointegration
Excel data (not logged) ===> FXCurrencies10