June 2015 Forex Correlation and Inefficiency Report

Sunday, 05 July 2015 09:45
Article Index
June 2015 Forex Correlation and Inefficiency Report
Correlations of AUD/JPY with other currency pairs for June 2015
Correlations of AUD/USD with other currency pairs for June 2015
Correlations of CHF/JPY with other currency pairs for June 2015
Correlations of EUR/AUD with other currency pairs for June 2015
Correlations of EUR/CHF with other currency pairs for June 2015
Correlations of EUR/GBP with other currency pairs for June 2015
Correlations of EUR/JPY with other currency pairs for June 2015
Correlations of EUR/USD with other currency pairs for June 2015
Correlations of GBP/CHF with other currency pairs for June 2015
Correlations of GBP/JPY with other currency pairs for June 2015
Correlations of GBP/USD with other currency pairs for June 2015
Correlations of USD/CAD with other currency pairs for June 2015
Correlations of USD/CHF with other currency pairs for June 2015
Correlations of USD/JPY with other currency pairs for June 2015
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Here is the June 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 June 2015. CERPI -- Currency Exchange Rate Predictability Index,CERCSI -- Currency Exchange Rate Correlation Strength Index.

volatility 1H.1MCERCSI 1H.1MCERPI 1H.1M
0.0014610.3901010.0398464

Forex autocorrelations for June 2015

AUDJPY_rac_and_AUDJPY_rac_correl lagged FX correlation histogram  June 2015 AUDUSD_rac_and_AUDUSD_rac_correl lagged FX correlation histogram  June 2015 CHFJPY_rac_and_CHFJPY_rac_correl lagged FX correlation histogram  June 2015 EURAUD_rac_and_EURAUD_rac_correl lagged FX correlation histogram  June 2015 EURCHF_rac_and_EURCHF_rac_correl lagged FX correlation histogram  June 2015 EURGBP_rac_and_EURGBP_rac_correl lagged FX correlation histogram  June 2015 EURJPY_rac_and_EURJPY_rac_correl lagged FX correlation histogram  June 2015 EURUSD_rac_and_EURUSD_rac_correl lagged FX correlation histogram  June 2015 GBPCHF_rac_and_GBPCHF_rac_correl lagged FX correlation histogram  June 2015 GBPJPY_rac_and_GBPJPY_rac_correl lagged FX correlation histogram  June 2015 GBPUSD_rac_and_GBPUSD_rac_correl lagged FX correlation histogram  June 2015 USDCAD_rac_and_USDCAD_rac_correl lagged FX correlation histogram  June 2015 USDCHF_rac_and_USDCHF_rac_correl lagged FX correlation histogram  June 2015 USDJPY_rac_and_USDJPY_rac_correl lagged FX correlation histogram  June 2015

Fig.1.Hour-scale autocorrelations of logarithmic returns during the month of June 2015 for the 14 leading FX time series.Note that autocorrelations are symmetric by definition.

Forex hour-scale zero-lag intermarket correlation heatmap for June 2015

2D 0-lag FX intermarket correlation pattern for AUDJPY, AUDUSD, CHFJPY, EURAUD, EURCHF, EURGBP, EURJPY, EURUSD, GBPCHF, GBPJPY, GBPUSD, USDCAD, USDCHF, USDJPY June 2015

Fig.2.The zero-lag correlation heatmap is a 2D arrangement of Pearson correlation coefficients such that any bin in thei-th row and j-th column contains the correlation coefficient between time series i and time series j, with numbersassigned in the following order: 1 -- AUDJPY, 2 -- AUDUSD, 3 -- CHFJPY, 4 -- EURAUD, 5 -- EURCHF, 6 -- EURGBP, 7 -- EURJPY, 8 -- EURUSD, 9 -- GBPCHF, 10 -- GBPJPY, 11 -- GBPUSD, 12 -- USDCAD, 13 -- USDCHF, 14 -- USDJPY.The informative part of the picture is intermarket correlations,found away from the main diagonal in the plot.The coefficients on the main diagonal all equal 1 by construction, since they represent zero-lag correlation of the time series with itself,normalized to be 1.

Forex hour-scale unit-lag intermarket predictability heatmap for June 2015

2D 1-lag FX intermarket correlation pattern for AUDJPY, AUDUSD, CHFJPY, EURAUD, EURCHF, EURGBP, EURJPY, EURUSD, GBPCHF, GBPJPY, GBPUSD, USDCAD, USDCHF, USDJPY June 2015

Fig.3.The unit-lag correlation heatmap is a 2D arrangement of Pearson correlation coefficients such that any bin in thei-th row and j-th column contains the correlation coefficient between time series i and time series j, with numbersassigned in the following order: 1 -- AUDJPY, 2 -- AUDUSD, 3 -- CHFJPY, 4 -- EURAUD, 5 -- EURCHF, 6 -- EURGBP, 7 -- EURJPY, 8 -- EURUSD, 9 -- GBPCHF, 10 -- GBPJPY, 11 -- GBPUSD, 12 -- USDCAD, 13 -- USDCHF, 14 -- USDJPY.

Forex hour-scale intermarket correlation functions for June 2015

The following subsections provide plots showing the hour-scale correlation functions in the vicinity of zero lag.