A Diversified Set of Quantitative Active Investment Models -

This book describes a possible way how investors can build a set of investment models to earn excess returns in global financial markets. The book argues, that global interest rate and currency markets are less effective and therefore creating more possibilities for profitable active speculation than global stock markets, because they have a higher share of participants who do not have profit maximization as their main goal. Furthermore the book proposes a systematic way how a set of quantitative investment models that is able to earn excess returns in interest rate and currency markets using derivative instruments can be built. The models use technical analysis, econometric analysis and simple ranking as methods, various financial market and macroeconomic data as inputs and give trading signals to trade foreign exchange forward contracts of G10 currency pairs and futures of major advanced government bond and short-term interest rate marksts.

Autorentext

Andres Vesilind, PhD, CFA is Head of Private Banking in Nordea Bank Finland Plc Estonia branch. Before joining Nordea in 2008 he worked ten years in Bank of Estonia, first as an analyst and then as a portfolio manager. He has also taught finance in Tartu University and Estonian Business School.