Meine Dissertation besteht aus drei Arbeiten zu systematischen Währungsstrategien. In den jeweiligen Artikeln untersuche ich (1) Momentum-, (2) Carry- und (3) Options-Strategien. Der erste Artikel untersucht zwei Methoden des Risikomanagements, die für Aktienmarkt-Momentum entwickelt wurden:...

This paper investigates two risk-management techniques originally created for stock market momentum strategies, i.e. a) constant volatility targeting (scaling) and b) the implementation of stop-losses in the cross-section of portfolio components. It applies them to momentum strategies in...

This paper analyzes the time-series reaction of carry trade returns to changes in various risk factors. Using non-linear methods, I find that implied currency volatility is an informative time-series predictor. Increases (declines) in the implied currency volatility (or, generally, perceptions...

The natural biomechanical motion process of many animals is stepwise. This feature of human movement and other bipeds is largely ignored in simulation models of pedestrians and crowds. We present a concise movement model for pedestrians based on stepwise movement. A series of controlled...