Asymmetry of the inter-market correlation peaks reveals leader-follower effects in FX.

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Market Correlations. FORTS Derivatives Market Diagnostics. May 2015.
Friday, 08 May 2015 15:45

FORTS meta-analytics May 2015

MaRaging Partners, a Moscow-based FX management advisory firm, continues publishing its monthly quantitative FORTS analysis. An English version of the May 2015 issue is available at the link.

April 2015 Forex Correlation and Inefficiency Report
Sunday, 03 May 2015 11:24

Here is the April 2015 update of the ForexAutomaton correlation analysis report, with its distinctive emphasis on time-lag dependence of auto-correlations and intermarket correlations.The report follows structure and definitions explained in a separate document, which can be used as a user manual.The report deals with the following exchange rate time series: AUDJPY, AUDUSD, CHFJPY, EURAUD, EURCHF, EURGBP, EURJPY, EURUSD, GBPCHF, GBPJPY, GBPUSD, USDCAD, USDCHF, USDJPY.

Table 1. Forex Automaton Index updates for April 2015. CERPI -- Currency Exchange Rate Predictability Index,CERCSI -- Currency Exchange Rate Correlation Strength Index.

volatility 1H.1MCERCSI 1H.1MCERPI 1H.1M
Site Development, August 2014
Saturday, 09 August 2014 11:15

The high volume of robot traffic makes uninterrupted operation of the site problematic. To help reduce this problem, I have:

  • created a resource, Forex Automaton, which is used to post trading system output

  • made most of the site password-protected

  • upgraded the hosting plan

  • reduced Google crawling rate

What are the goals of the project?

Our primary goal is to maintain a public information service providing financial markets forecasts, based on our proprietary forecasting tools: an automated trading system -- a Forex Automaton™. A live forecasting system operating on daily time scale, Danica, is online since late December 2009. An hour-scale forecast system, Heidi, and a daily signal EUR/USD system running a model portfolio, Demi, were launched in August 2010.

Our secondary goal is to discover, quantify and monitor the very existence of sustainable opportunities for profit-making via systematic trading. Or simply put, to monitor the degree to which these markets are more predictable than a "fair game" -- to a trader without access to insider information.

ForexAutomaton 2013. The Fifth Annual Summary of Researh Progress
Sunday, 14 April 2013 16:53

Success of algorithmic trading has as much to do with the market as with the nature of the algorithm. While the algorithms may vary and may have terms such as artificial intelligence, adaptivity, machine learning, neural networks and the like associated with them, the phenomenology of what it is that the machines are "learning" all comes down to correlation measurements of varying order -- pairs, triplets, quadruplets... -- over a variety of time lags and time scales, performed on the market time series.

ForexAutomaton began its life on April 02, 2008, five years ago. Year V was exceptionally productive for the project. Here are the main highlights of this annual review:

  • An Index of Correlation Strength (CERCSI) and a Predictability Index have been formulated and the history of these measures has been established.
  • Index of Correlation Strength reveals that a regime switch in the market dynamics took place in Summer 2007.
  • Danica, the daily forecast system, has confirmed its status of an "Anti-System", delivering its forecasts in the non-random and consistent opposition to the market reality.
  • The challenge of regime switch has been addressed by implementing an algorithm, nicknamed Twisted Pair, to incorporate sensitivity to two basic types of memory effects: trending and reversion to the mean.
  • Danica, the daily forecast system, and Heidi, the hourly system, have been upgraded with the Twisted Pair algorithm.

World Time

New York: 15:34 London: 20:34 Berlin: 21:34 Tokyo: 4:34


"Seven out of twelve voting seats at FOMC belong to the FRS board members and five -- to the regional presidents. One of these five is permanently assigned to the new york Fed president. Obama's appointment of two board members to the two FOMC vacancies along with the rotation of two regional presidents -- hawkish dissidents Fisher and Plosser have left the committee -- can result in softer FOMC rhetoric in 2015.

Out of two alternatives -- dollar bursts first and the US stock market follows or the US stock market bursts first -- the first one is preferable. Otherwise, risk aversion amid falling stock market will strengthen the already strong dollar, creating an extra shock for the US economy."

See full text of the report on the MaRaging Partners web site.