Paul Whelan and Ingomar Krohn receive a research grant from The Canadian Derivatives Institute

News

FRIC center members Paul Whelan and Ingomar Krohn and their co-author receive a research grant from The Canadian Derivatives Institute to study the project entitled FX Premia Around the Clock

11/30/2018

FRIC center member Paul Whelan and Ingomar Krohn and their co-author Philippe Mueller receive a research grant from The Canadian Derivatives Institute to study the research project entitled FX Premia Around the Clock.

In the research project, the authors dissect return dynamics in the foreign exchange market into different components over the 24 hour day and revisit well-known trading strategies such as carry and momentum. The results intend to shed light on our understanding of currency markets and has important implications for future theoretical and empirical work.

The research grant from The Canadian Derivatives Institute consists of $45,000 CAD to cover for research expenses, and the research paper will be part of the CDI working paper series and must be presented at the CDI Annual Scientific Conference.

Find more information about the grant here.

The page was last edited by: Center for Financial Frictions // 12/05/2018