Quant finance research with a focus on FX and systematic trading strategies.
Having initially started with Jupyter notebooks, I quickly made the switch to publishing the research papers as markdown files. The reason being that these are better suited for version control, markdown is the preferred format for machine learning and AI applications, and formatting is more pleasing to look at than a Jupyter notebook for us human readers, too, to be honest. The repo is organised into folders:
- papers - Contains all research papers in individual sub-folders, where you find both the editable markdown files and PDF versions of the articles, as well as the corresponding image or other media files.
- src - Contains scripts or other useful software pieces, again, in sub-folders.
If you're viewing a markdown file directly on Github and a mathematical formula might look weird, or you discover another formatting issue, kindly download the file and view it in your preferred markdown editor offline. All research articles have been double-checked and render correctly in markdown viewers. I recommend Typora (https://typora.io).
I have grouped my research into the following series:
#1: 2025-09-12 The river flows, the water never stays the same
US dollar volatility, the dollar's reserve currency status, and its role today.
#2: 2026-04-24 The contribution of FX to portfolio risk
How foreign exchange exposures impact portfolio risk, both in terms of volatility and drawdowns.
#3: 2026-11-XX Functional currency classification in multi-asset portfolios (Working paper)
This paper establishes a functional taxonomy of global currencies based on their macro transmission mechanisms to portfolio risk and return. Work in progress.
#4: 2027-02-XX Developing a robust strategic FX hedging policy by combining top-down and bottom-up analysis (Working paper)
How to develop a robust FX hedging strategy for complex multi-asset portfolios using a disciplined investment process that combines top-down (portfolio-level) and bottom-up (currency-specific) decision-making. Work in progress.
My name is Dominik Mueller. I am Head of Currency Management at B. Metzler seel. Sohn & Co. AG in Frankfurt, one of the world's oldest private banks, family-owned since 1674. I joined Metzler in 2013 to help establish the currency management team, now a leader in FX overlay solutions for institutional and multinational clients. Previously, I worked in currency overlay at Berenberg Bank, developing quantitative FX models and managing client risk, and earlier held roles at banks in Frankfurt, Hamburg, and London. I hold an MSc in finance from Imperial College London (foreign exchange specialisation) and a BSc in business studies (finance and insurance risk management) from the University of Hamburg.
Everything I publish here is freely accessible under the MIT licence. I strive to credit all external sources and hope you will do likewise when using my work. While I share my research and code openly to foster transparency and collaboration, I cannot release underlying data bound by commercial licence agreements.
Everything I write is my own personal opinion and does not necessarily reflect the opinion of my employer. Nothing I write is investment advice. You invest at your own risk. Past performance is no indicator of future performance.