正文
今年年初，我曾给在纽约的一些 Chinese MBA 们讲了一些关于外汇市场和交易策略方面的知识，以下是当时讲座中使用过的几张 PPT slides，想了解外汇市场的人可能会觉得有用。
* Foreign exchange market is the largest market in the world
Global Average daily volume
2004: $1.77 trillion
2005: $2.0 trillion
2006: $2.7 trillion
2007: $3.6 trillion (projected)
* Currencies compared to stocks and bonds
Average daily volume
U.S. stock market: < $10 billion
U.S. treasury bond market: $300 billion
Foreign exchange market: $2900 billion
* The 2.9 trillion global foreign exchange market:
$621 billion in spot transactions
$208 billion in outright forwards
$944 billion in foreign exchange swaps
$1.26 trillion in derivatives (futures and options)
* Foreign exchange market is an over-the-counter market among dealers/brokers, with no central exchange or clearing house
UK: 32.4% (of the total trading volume)
US: 18.2%
Japan: 7.6%
Singapore: 5.7%
* Market participants
Major international banks (Deutsche Bank, UBS, Citibank)
Investment banks (Goldman Sachs, J.P. Morgan)
Large multi-national corporations (GE, IBM)
National central banks (Bank of Japan, Bank of England)
Large hedge funds & investment firms (Tudor Investment,Caxton Associates)
Retail broker-dealers (Interactive Brokers, FXDD)
* Most traded currencies
US dollar: USD
Euro: EUR
Japanese Yen: JPY
British pound: GBP
Swiss franc: CHF
Australian dollar: AUD
* Currencies are traded in crosses. The most heavily traded crosses are:
EUR/USD - 28 %
USD/JPY - 18 %
GBP/USD - 14 %
* Advantages of currencies over equities
Superior liquidity;
No insider information;
24-hour trading;
100:1 leverage;
Long and short positions.
(These are also disadvantages for those who are not emotionally mature to profit from risks.)
另外，IvyLi 已经对外汇交易汇率的涨跌做了比较详细的介绍，我就不重复了。
关于外汇交易的汇率 http://web.wenxuecity.com/BBSView.php?SubID=tzlc&MsgID=54999
关于JR98的问题，我觉得对於长期生活在美国、赚美元、花美元的大多数人来说，美元汇率的变化对日常生活没有什么太大的影响，也没有 hedge 的必要。我在以前写的一篇里讲过，为什么美元缓慢的贬值实际上符合美国的利益。
小议美元 http://groups.wenxuecity.com/discussion.php?gid=123&pid=3919
从投资的角度来看，如果不是对美元汇率的走向有非常强烈的期望，那么在买股票和基金时也不必特别考虑美元汇率的变化，最多就是增加一点海外投资的比例(如果能够承受高一些的动荡程度的话)。
但是假如真对美元汇率的走向有很强的看法并打算从中获利的话，对於习惯于买股票和基金的人来说，比较自然的选择是 CurrencyShares ETF，简单地说，就是各种外汇的指数基金(currency index funds).
http://www.currencyshares.com/home/CurrencyShares.rails
但CurrencyShares ETF 的缺点是，交易很不频繁，从而价格跳高跳低较多；交易时间与美国股票相同，可这段时间并不是外汇交易的最佳时段；更严重的是，各种外币的利息大都被推出 CurrencyShares ETF 的 Rydex Investments 吞掉了。
因此，做外汇投资的最佳工具是 currency spot market. 如果能够做好适当的风险管理，并对未来回报率做出合理的预算，那么长期收益率是相当可观的。
外汇投资十年计划 http://groups.wenxuecity.com/discussion.php?gid=123&pid=4818
大丫提到的 forex options 确实存在于 CME(Chicago Mercantile Exchange)，但外汇本身的杠杆就已经可以高达100倍了，再加上 forex options 的 bid-ask spread 差价实在是无法与 currency spot market 相比，因此交易 forex options 很不划算。如果单纯地当作有限时期的 hedge 倒还可以。
===
外汇论坛
http://groups.wenxuecity.com/groupview.php?gid=123
* Foreign exchange market is the largest market in the world
Global Average daily volume
2004: $1.77 trillion
2005: $2.0 trillion
2006: $2.7 trillion
2007: $3.6 trillion (projected)
* Currencies compared to stocks and bonds
Average daily volume
U.S. stock market: < $10 billion
U.S. treasury bond market: $300 billion
Foreign exchange market: $2900 billion
* The 2.9 trillion global foreign exchange market:
$621 billion in spot transactions
$208 billion in outright forwards
$944 billion in foreign exchange swaps
$1.26 trillion in derivatives (futures and options)
* Foreign exchange market is an over-the-counter market among dealers/brokers, with no central exchange or clearing house
UK: 32.4% (of the total trading volume)
US: 18.2%
Japan: 7.6%
Singapore: 5.7%
* Market participants
Major international banks (Deutsche Bank, UBS, Citibank)
Investment banks (Goldman Sachs, J.P. Morgan)
Large multi-national corporations (GE, IBM)
National central banks (Bank of Japan, Bank of England)
Large hedge funds & investment firms (Tudor Investment,Caxton Associates)
Retail broker-dealers (Interactive Brokers, FXDD)
* Most traded currencies
US dollar: USD
Euro: EUR
Japanese Yen: JPY
British pound: GBP
Swiss franc: CHF
Australian dollar: AUD
* Currencies are traded in crosses. The most heavily traded crosses are:
EUR/USD - 28 %
USD/JPY - 18 %
GBP/USD - 14 %
* Advantages of currencies over equities
Superior liquidity;
No insider information;
24-hour trading;
100:1 leverage;
Long and short positions.
(These are also disadvantages for those who are not emotionally mature to profit from risks.)
另外，IvyLi 已经对外汇交易汇率的涨跌做了比较详细的介绍，我就不重复了。
关于外汇交易的汇率 http://web.wenxuecity.com/BBSView.php?SubID=tzlc&MsgID=54999
关于JR98的问题，我觉得对於长期生活在美国、赚美元、花美元的大多数人来说，美元汇率的变化对日常生活没有什么太大的影响，也没有 hedge 的必要。我在以前写的一篇里讲过，为什么美元缓慢的贬值实际上符合美国的利益。
小议美元 http://groups.wenxuecity.com/discussion.php?gid=123&pid=3919
从投资的角度来看，如果不是对美元汇率的走向有非常强烈的期望，那么在买股票和基金时也不必特别考虑美元汇率的变化，最多就是增加一点海外投资的比例(如果能够承受高一些的动荡程度的话)。
但是假如真对美元汇率的走向有很强的看法并打算从中获利的话，对於习惯于买股票和基金的人来说，比较自然的选择是 CurrencyShares ETF，简单地说，就是各种外汇的指数基金(currency index funds).
http://www.currencyshares.com/home/CurrencyShares.rails
但CurrencyShares ETF 的缺点是，交易很不频繁，从而价格跳高跳低较多；交易时间与美国股票相同，可这段时间并不是外汇交易的最佳时段；更严重的是，各种外币的利息大都被推出 CurrencyShares ETF 的 Rydex Investments 吞掉了。
因此，做外汇投资的最佳工具是 currency spot market. 如果能够做好适当的风险管理，并对未来回报率做出合理的预算，那么长期收益率是相当可观的。
外汇投资十年计划 http://groups.wenxuecity.com/discussion.php?gid=123&pid=4818
大丫提到的 forex options 确实存在于 CME(Chicago Mercantile Exchange)，但外汇本身的杠杆就已经可以高达100倍了，再加上 forex options 的 bid-ask spread 差价实在是无法与 currency spot market 相比，因此交易 forex options 很不划算。如果单纯地当作有限时期的 hedge 倒还可以。
===
外汇论坛
http://groups.wenxuecity.com/groupview.php?gid=123
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汇款
2007-10-02 21:27:42
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