Forex and futures testing

Posted by on Nov 22, 2011 in ArbMaker News! | 3 Comments

One of the fascinating aspects of statistical arbitrage is its ability to turn up relationships that are not particularly obvious (which can also be its downside for the unwary).

During our ongoing testing of futures and forex we came across this:

That’s the Australia vs New Zealand dollar spot rate paired up with the UK’s BG Group plc. BG Group is a vertically integrated energy company specialising mainly in natural gas. They have had exposure to Australia and New Zealand through local acquisitions for some time – but not enough to dominate their risk management operations. But in 2008 they formed an alliance with Queensland Gas Company which has led them to commit US$15 billion of capex to the development of something called the Queensland Curtis Liquefied Natural Gas project. It’s due to come on line by 2014 and utterly dominates their capex budget. Is there a link to the chart? You decide – but it has been a nice little burner either way.

Testing continues…

3 Comments

  1. MIke
    November 23, 2011

    Is this al base don data from actual exchange data or something free like Yahoo? How much latency!

    Reply
    • Admin
      November 23, 2011

      This is mixed feed. The London Stock Exchange quote is from Yahoo. The fx quote is ffrom IQFeed.

      The length of these trades means latency is not a factor – HFT is another style altogether.

      Reply
  2. Admin
    November 25, 2011

    Hi. IB support is planned for Q1. Please send us any features ideas via the Support page.

    Reply

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