Seeking the cues in macro markets

Cuemacro is a company focused on understanding macro markets from a quantitative perspective, in particular currency markets. Our goal is understand how data can be used to deepen understanding of macro markets. We use both existing and innovative data sources, to create systematic trading strategies and data indices.

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Capital flows and FX

When data is irritating to get hold of, guess what, folks don’t bother looking at it (or at the very least fewer people take a look at it). When it comes to FX, one dataset which seems to suffer from this is capital flow data. First what are capital flows? To quote that arbiter of all…

What drives FX?

The title of this post seems simple enough. However to answer the question of what drives FX is somewhat more complex. I remember one of my colleagues at Lehman Brothers, used to describe FX as an amalgamation of other markets. When a portfolio manager buys stocks in a foreign country, this results in an FX…

Modelling market behaviour

Life is complicated. It’s perhaps for that reason that philosophers have mused about the world for millennia. How do mathematicians deal with this complexity we encounter in the world? They seek to simplify it. By breaking down problems into their constituent parts, they become more tractable and solvable, and something that we might be able to…

A cynic & valuation in FX

I remember (many) years ago, being asked at a graduate job interview at Lehman Brothers, what is the price of an asset? I somewhat stumbled around for a few minutes pontificating searching for a few coherent words which could be jumbled up into the sentence. I have no precise recollection of what I replied. I do however remember…

FT Festival of Finance

(Above) Peter Praet, Chief Economist, ECB   Each July, Camp Alphaville descends on London, an eclectic finance conference discussing topics ranging from macroeconomics to fintech to the music industry. It also provides a focal point for the Twitter finance community to meet in real life, where conversations are not confined to 140 characters at a time.…

Macro markets after Brexit

Watching the price action during Thursday evening brought back memories of the Lehman bankruptcy. This was especially true when observing GBP. A move in any currency of 10% within a short period is highly unusual, with GBP/USD moving from a high of 1.50 to a low of 1.32. In a paper, by Iain Clark and myself,…

Brexit expectations

I kind of like burgers. Yes, it’s true. (Please do bear with me, there will be a pertinent market related point to his discussion, by the next paragraph). I also would speculate that most people like burgers. Admittedly, this is a broad generalisation. However, for the sake of our example, we’ll simply make that assumption. However, perhaps the more…