Case Study: CalPERS uncovers profitable intraday currency trading strategies and cuts development time with MathWorks

CalPERS Analyzes Currency Market Dynamics to Identify Intraday Trading Opportunities

CalPERS, the California Public Employees’ Retirement System, needed to develop an intraday trading model for currency markets and to quantify market dynamics from millions of rows of historical bid/ask data. To do this in a single integrated environment, CalPERS turned to MathWorks and used MATLAB along with the Econometrics Toolbox and Financial Toolbox for data cleaning, analysis, visualization, and backtesting.

Using MathWorks tools, CalPERS parsed and cleaned roughly 7–10 million rows of tick data in MATLAB, applied Econometrics and Financial Toolbox functions to model volatility and correlations, and backtested hypotheses—reducing development time by at least six months. The analysis identified a profitable intraday market dynamic that provides a measurable statistical edge (about 2% when traded frequently) and produced clear visual insights into hourly and minute-level volatility.

CalPERS

Omid Rezania

Investment Officer