Ralph Sueppel (@macro_synergy) 's Twitter Profile
Ralph Sueppel

@macro_synergy

Managing Director of Macrosynergy Ltd. Development of systematic macro trading strategies.

ID: 740954006407786496

linkhttps://research.macrosynergy.com/ calendar_today09-06-2016 17:09:36

2,2K Tweet

15,15K Followers

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Ralph Sueppel (@macro_synergy) 's Twitter Profile Photo
Ralph Sueppel
@macro_synergy

4 months ago

"We propose a new measure, the expected reduction in currency option implied variance (EVR), capturing exposure to monetary policy uncertainty. Currencies with higher EVR earn significantly higher returns on announcement days. A long-short strategy based on EVR yields substantial

"We propose a new measure, the expected reduction in currency option implied variance (EVR), capturing exposure to monetary policy uncertainty. Currencies with higher EVR earn significantly higher returns on announcement days. A long-short strategy based on EVR yields substantial