Thoughts on some of the absurdity of multi-currency analysis. - page 8
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На мой взгляд это не так. Диверсификация эффективна в любых случаях, когда мы используем не один и тот же инструмент для создания портфеля. Эта вещь работает почти всегда.
Если есть какие то аргументы против ее применения - выкладывайте, будет интересно почитать.
Example:
Profit:
Diversification:
поставщики ликвидности могут как угодно рассчитывать свои биды и оффера, хоть через мажоры - это их дело и нет никакого на то регламента. На ECN и бирже каждый может создавать ликвидность выставляя ордера внутри текущего спреда (сужая его). Поэтому спред на кроссах не зависит на прямую от мажоров и м.б. гораздо меньше чем сумма спредов на соответсвующих мажорах
Right, that's what I wrote about. Only the sum of the major spreads has nothing to do with the spread of even the corresponding synthetic cross.
Liquidity on crosses is always maintained by the liquidity of the majors. Narrow spreads on crosses are, as I have already written, the result of orders on these crosses by ECN participants. But the cross liquidity created by these ECN participants pales in comparison to the liquidity provided by the majors for the cross.
Example:
Profit:
Right, that's what I wrote about. Only the sum of the major spreads has nothing to do with the spread of even the corresponding synthetic cross.
Liquidity on crosses is always maintained by the liquidity of the majors. Narrow spreads on crosses are, as I have already written, the result of orders on these crosses by ECN participants. But the cross liquidity created by these ECN participants pales in comparison to the liquidity that the majors provide for the cross.
it is possible, I did not compare these liquidity because it is not clear how to do it
Example:
Profit:
Diversification:
Generally, the point of diversification is that the noises that are supposedly present in exchange rates are not known to add up in amplitude when creating a portfolio. The noises actually overlap each other. But the share of currencies in the portfolio decreases. In other words, ideally a portfolio consisting of 2 currency pairs has noise amplitude 2 times less than one currency.
In other words, a 200 pips loss on the Euro, you do not have this loss on other pairs, hence, the entire portfolio is not affected as much as if you had only one currency pair in your portfolio. Therefore the drawdown of the portfolio is less than the drawdown of one particular pair.
Therefore the more pairs in the portfolio, the better for risk reduction - but of course this is a crude hypothesis that does not always work.
Example:
I don't know how important this assumption is to you, but it is wrong, because you only have a constant amount of GBP and EUR. The yen and the quid vary in their volume.
Не знаю на сколько важно для вас это предположение, но оно не верно, поскольку у вас неизменное количество лишь фунта и евро. Йена и бакс изменяются в своем объеме.
Justify. My statement is true for any shoulder.
On the interbank market most likely YES, on the brokerage... Depends on the reliability, if the reliability of the BC is tolerable - it is more profitable through crosses.