Research

                                     Next upcoming conferences that we can meet: FMA 2024 (Turin), IAAE 2024, World Finance Conference, The 31st Annual Global Finance, 3rd ISFBI International Symposium for Derivatives and Risk Management, MMF PhD Conference 2024. 





 


Working papers:

-Currency Optimal Portfolios: Do Characteristics Matter? (Solo work)


Optimal Currency Portfolios: Do Characteristics Matter? by A. Hedieh Shahini :: SSRN



Presentation by Author: 

Brown Bag at the University of Warwick, UK Women in Finance (thanks to Jana Fidrmuc), 2024 Lancaster-Manchester-Warwick Joint Workshop on Quantitative Finance and Financial Technology, International Association for Applied Econometrics  Conference (IAAE 2024), World Finance Conference, The 31st Annual Global Finance.




-Carry: Subset Predictor (at request by email)  (Solo work)

Abstract

 The ability of a currency to generate profits using trading strategies may be short-lived or impacted by economic turmoil or central bank intervention. I identify the subset of currencies by constructing the factor that enhances the carry signal during uncertainty and disentangles currencies’ performance with a substantially higher sharp ratio and lower skewness. The signal factor found the New Zealand dollar (NZD) as the primary currency in carry trade formation that signals strongly before the crisis and extreme events to save an investor from the crash in the currency market, while the prior work indicates the JPY and the AUD. As long as the JPY is the second one to signal the crash, I can suggest that the investors with JPY in hand try to hedge their assets by selling the NZD.




-Blades of Carry: The Big Short  (Solo work)

Blades of Carry: The Big Short by A. Hedieh Shahini :: SSRN 

SSRN's Top Ten download list for: ERN: International Finance (Topic) and Econometric Modeling: International Economics eJournal. 


Presentation by Author:  

 ICMA Conference at the University of Reading.



 

-International Inflation Correlation Risk, Hedge or Trade, Nature Spirit (coming soon) (Solo work)

Perplexed Inflation_at_Risk! 

Why does the Fed need/have to slow down? 

Why does the EU embrace yield inversion?

 Presentation by Author: 

ISFBI International Symposium for Derivatives and Risk Management, FMA 2024 (Turin, Doctoral Consortium), MMF PhD Conference 2024.







Discussant:


The Impact of Bitcoin On-chain and Off-chain Factors on Market Efficiency 

2024 Lancaster-Manchester-Warwick Joint Workshop on Quantitative Finance and Financial Technology



Optimising Currency Factors 

FMA (Turin, 2024), Currency and International Markets  


Reviewer:

 Journal of Multinational Financial Management