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Alfred · 2024年05月14日

这道题怎么理解

NO.PZ2023041102000022

问题如下:

Thibodeaux notes that while fundamental-based models are useful in explaining longer-term trends in exchange rates, they are of limited value when it comes to explaining short-trends. He explains:

“Technical analysis, as well as order flow, sentiment, and positioning indicators have been more successful for short-term exchange rate forecasting,”

The discussion of short-exchange rate forecasting continues with the following comments:

Beauregard:“Technical analysis is not likely to benefit our emerging market trades because the currencies are thinly traded.”

Thibodeaux:“Utilizing trend following in our carry trade strategy should protect us from experiencing losses in a market unwind.”

Beauregard:“Monitoring market sentiment by following the trend in risk reversals should enable us to predict and confirm currency rate movements on our trades.”

Which of the comments about short-term exchange rate forecasting is the most accurate? The comment by:

选项:

A.Beauregard regarding their emerging market trades. B.Beauregard regarding monitoring market sentiment. C.Thibodeaux regarding their carry trade strategy.

解释:

Thibodeaux’s comment about the carry trade strategy is the most accurate. Although carry trade strategies can generate attractive returns over long periods, the distribution of the returns suggest that carry trades are sometimes prone to significant downside tail risk during carry trade unwinds. Thus, a trend-following trading system overlaid on a carry trade strategy could warn investors to step aside during unwinds.

Thibodeaux关于套利交易策略的评论最为准确。虽然套息交易策略可以在长期内产生有吸引力的回报。但回报的分布表明,在套息交易平仓期间,套息交易有时容易出现显著的下行尾部风险。因此,套息交易策略上的趋势跟踪交易系统可能会警告投资者在平仓期间离场。

A为什么不对呢,交易不频繁时,技术分析不能使用

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已采纳答案

笛子_品职助教 · 2024年05月15日

嗨,努力学习的PZer你好:


这是2017年的Mock题。

在当时,原版书有一个结论:技术分析在新兴市场更有效。

如今的考纲里,经济学这门课里,所有关于技术分析的主题,已经全部删除了。

考试已不会再涉及。


同学通过这道题掌握carry trade有尾部风险的知识即可。

关于技术分析的阐述,可以忽略。

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