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

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Market Correlations. FORTS Derivatives Market Diagnostics. August 2015.
Tuesday, 04 August 2015 16:53

FORTS meta-analytics August 2015

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

 
July 2015 Forex Correlation and Inefficiency Report
Sunday, 02 August 2015 08:34

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

volatility 1H.1MCERCSI 1H.1MCERPI 1H.1M
0.00130890.3793150.0530201
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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.

 
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: 17:32 London: 22:32 Berlin: 23:32 Tokyo: 6:32

Op-ed

"The influence of Greek situation on the financial markets -- and according to a German saying, a horrible end is better than endless horror -- is moderated by the active EAPP (European QE program). It seems to us that the broad public coverage of the noisy and scandalous euro - divorce creates what looks more like an opportunity to buy, rather than to sell euro. Any steps by Greece away from the EU will increase risks for Greece and decrease them for the EU. Because euro is above all a European, and only then greek currency, it is logical to buy it."

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