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

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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™.

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.

 
April 2016 Forex Correlation and Inefficiency Report
Monday, 02 May 2016 07:06

Here is the April 2016 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 2016. CERPI -- Currency Exchange Rate Predictability Index,CERCSI -- Currency Exchange Rate Correlation Strength Index.

volatility 1H.1MCERCSI 1H.1MCERPI 1H.1M
0.001335710.3431880.0496194
Read more...
 
Market Correlations. FORTS Derivatives Market Diagnostics. February 2016.
Saturday, 06 February 2016 15:02

FORTS meta-analytics February 2016

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

 
Trading system output is now only on blogger
Friday, 12 June 2015 15:45

Please use this link: fxautomaton.blogspot.com.

The Google problem with OAuth 1 being replaced by OAuth 2 and rendering googlecl obsolete is cured by switching to the mail posting. Sorry for the inconvenience.

 

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