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

Main Menu

Popular Resources

Algorithmic Trading Systems

Danica 9am | Danica 3pm

 
Market Correlations. FORTS Derivatives Market Diagnostics. June 2015.
Saturday, 20 June 2015 15:33

FORTS meta-analytics June 2015

MaRaging Partners, a Moscow-based FX management advisory firm, continues publishing its monthly quantitative FORTS analysis. An English version of the June 2015 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.

 
May 2015 Forex Correlation and Inefficiency Report
Saturday, 06 June 2015 12:44

Here is the May 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 May 2015. CERPI -- Currency Exchange Rate Predictability Index,CERCSI -- Currency Exchange Rate Correlation Strength Index.

volatility 1H.1MCERCSI 1H.1MCERPI 1H.1M
0.001350250.3725050.0466491
Read more...
 
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 blogspot.com 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.

 

World Time

New York: 12:45 London: 17:45 Berlin: 18:45 Tokyo: 1:45

Op-ed

"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.