Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: Using Macroeconomic Forecasts to Improve Mean Reverting Trading
  Strategies   A large class of trading strategies focus on opportunities offered by the
yield curve. In particular, a set of yield curve trading strategies are based
on the view that the yield curve mean-reverts. Based on these strategies'
positive performance, a multiple pairs trading strategy on major currency pairs
was implemented. To improve the algorithm's performance, machine learning
forecasts of a series of pertinent macroeconomic variables were factored in, by
optimizing the weights of the trading signals. This resulted in a clear
improvement in the APR over the evaluation period, demonstrating that
macroeconomic indicators, not only technical indicators, should be considered
in trading strategies.

18
The categories of this paper are: econ
16
The categories of this paper are: stat
21
The categories of this paper are: adap-org
27
The categories of this paper are: comp-gas
37
The categories of this paper are: supr-con
20
The categories of this paper are: acc-phys
32
The categories of this paper are: atom-ph
8
The categories of this paper are: hep-ex
35
The categories of this paper are: mtrl-th
33
The categories of this paper are: plasm-ph
19
The categories of this paper are: eess
23
The categories of this paper are: solv-int
7
The categories of this paper are: hep-th
28
The categories of this paper are: alg-geom
15
The categories of this paper are: nucl-ex
31
The categories of this paper are: ao-sci