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

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Algorithmic Trading Systems

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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.

 
October 2016 Forex Correlation and Inefficiency Report
Tuesday, 08 November 2016 11:28

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

volatility 1H.1MCERCSI 1H.1MCERPI 1H.1M
0.001181970.2776130.0370265
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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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