巴黎银行-全球-外汇市场-巴黎银行外汇指南-20180122-15页_1mb

FX STRATEGY | FX QUANT Insight Summary

Core Content Overview

This document provides a summary of the BNP Paribas STEER™ model's trading signals and insights for various currency pairs as of 22 January 2018. The STEER model is used to determine short-term fair values (FV) and identify potential trading opportunities based on z-scores, which indicate the deviation from the model's fair value. The model also includes a co-integration filter to assess statistical confidence in the signals.

Main Trading Signals

• No new signals were issued today.
• Closed signals:
  • 19-Jan-18: LONG USDZAR closed at 12.0872 with a return of -0.41% due to the pair no longer passing the co-integration filter.
• Existing signals:
  • 19-Jan-18: SHORT GBPUSD with an entry rate of 1.3895, a target of 1.3663, and a stop loss at 1.4028, with a return of 0.22%.

Recently Closed Signals

• 05-Jan-18: SHORT AUDUSD closed at 0.7924 with a return of -1.01%.
• 12-Jan-18: LONG USDCOP closed at 2847.25 with a return of -0.21%.
• 15-Jan-18: LONG USDSGD closed at 1.3186 with a return of -0.26%.
• 15-Jan-18: SHORT USDKRW closed at 1066.55 with a return of -0.36%.
• 08-Jan-18: LONG EURNOK closed at 9.5804 with a return of -1.08%.

Short-Term Fair Value and Z-Score Analysis (G10 Currencies)

Key Observations:

• GBPUSD is 1.59 z-scores above its fair value, indicating overvaluation.
• USDCAD, EURNOK, and EURCHF are overbought, with z-scores indicating they are trading below their STEERs.
• USDJPY, EURGBP, and EURUSD are trading below their STEERs, with USDJPY being significantly undervalued.
• EURSEK is very close to its fair value, with a z-score of -0.05.
• NZDUSD and AUDUSD are overbought, with z-scores above 1.6 and 1.86 respectively.

Emerging Markets FX & IR Strategy Insights

Key Points:

• Most EM pairs are trading in line with their STEERs.
• EURHUF and EURRON are overvalued, with z-scores of 2.14 and 2.34 respectively.
• STEER™ Model is used to evaluate fair value and z-scores for EM currencies.

Driving Factors

• The model highlights deviations from fair value and provides z-scores for each currency.
• The z-scores indicate whether a currency is overbought, undervalued, or close to fair value.
• The co-integration filter is used to assess the statistical confidence of the model's signals.

FX Strategy Contacts

Legal and Disclaimer Information

• This document is non-independent research and marketing communication, not investment research.
• It may be subject to conflicts of interest due to interaction with sales and trading.
• STEER™ is a registered trademark of BNP Paribas.
• The information is not to be taken as authoritative or investment advice.
• No guarantees are made regarding accuracy, completeness, or future performance.
• Indicative prices are provided based on internal models and may vary significantly from other sources.
• Confidentiality is emphasized, and the document should not be reproduced or distributed without consent.
• No liability is accepted for any loss arising from the use of this document.