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May 2016 Forex Correlation and Inefficiency Report |
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Page 1 of 15 Here is the May 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.
Forex autocorrelations for May 2016 Fig.1.Hour-scale autocorrelations of logarithmic returns during the month of May 2016 for the 14 leading FX time series.Note that autocorrelations are symmetric by definition. Forex hour-scale zero-lag intermarket correlation heatmap for May 2016
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 May 2016 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 May 2016The following subsections provide plots showing the hour-scale correlation functions in the vicinity of zero lag. |
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