Carry trading is one of the most popular currency trading strategies. The aim of this paper is to apply and analyze the approach described in Baz et al. (2015) by utilizing the G10 currency cross rates and the 3-month Libor rates. The carry trading strategy is well documented and widely used by...

We apply the statistical sparse jump model, a recently developed, interpretable and robust regime switching model, to infer key features that drive the return dynamics of the largest cryptocurrencies. The algorithm jointly performs feature selection, parameter estimation, and state...