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Lecture 4: Section 1

Lecture 4: Section 1. Generic Currency Signals. Momentum or Trend: bet on continuation of directional moves. Many ways to calculate the autoregressive nature of currency returns BofA: use past month and Deutsche Bank: use last 12-month returns and buy top-3 and sell bottom-3

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Month libid - PowerPoint PPT Presentation

Lecture 4: Section 1