May 2013 Forex Correlation and Inefficiency Report

Article Index
May 2013 Forex Correlation and Inefficiency Report
Correlations of AUD/JPY with other currency pairs for May 2013
Correlations of AUD/USD with other currency pairs for May 2013
Correlations of CHF/JPY with other currency pairs for May 2013
Correlations of EUR/AUD with other currency pairs for May 2013
Correlations of EUR/CHF with other currency pairs for May 2013
Correlations of EUR/GBP with other currency pairs for May 2013
Correlations of EUR/JPY with other currency pairs for May 2013
Correlations of EUR/USD with other currency pairs for May 2013
Correlations of GBP/CHF with other currency pairs for May 2013
Correlations of GBP/JPY with other currency pairs for May 2013
Correlations of GBP/USD with other currency pairs for May 2013
Correlations of USD/CAD with other currency pairs for May 2013
Correlations of USD/CHF with other currency pairs for May 2013
Correlations of USD/JPY with other currency pairs for May 2013
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Here is the May 2013 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 2013. CERPI -- Currency Exchange Rate Predictability Index,CERCSI -- Currency Exchange Rate Correlation Strength Index.

volatility 1H.1MCERCSI 1H.1MCERPI 1H.1M
0.001293690.3488840.0626627

Forex autocorrelations for May 2013

AUDJPY_rac_and_AUDJPY_rac_correl lagged FX correlation histogram May 2013 AUDUSD_rac_and_AUDUSD_rac_correl lagged FX correlation histogram May 2013 CHFJPY_rac_and_CHFJPY_rac_correl lagged FX correlation histogram May 2013 EURAUD_rac_and_EURAUD_rac_correl lagged FX correlation histogram May 2013 EURCHF_rac_and_EURCHF_rac_correl lagged FX correlation histogram May 2013 EURGBP_rac_and_EURGBP_rac_correl lagged FX correlation histogram May 2013 EURJPY_rac_and_EURJPY_rac_correl lagged FX correlation histogram May 2013 EURUSD_rac_and_EURUSD_rac_correl lagged FX correlation histogram May 2013 GBPCHF_rac_and_GBPCHF_rac_correl lagged FX correlation histogram May 2013 GBPJPY_rac_and_GBPJPY_rac_correl lagged FX correlation histogram May 2013 GBPUSD_rac_and_GBPUSD_rac_correl lagged FX correlation histogram May 2013 USDCAD_rac_and_USDCAD_rac_correl lagged FX correlation histogram May 2013 USDCHF_rac_and_USDCHF_rac_correl lagged FX correlation histogram May 2013 USDJPY_rac_and_USDJPY_rac_correl lagged FX correlation histogram May 2013

Fig.1.Hour-scale autocorrelations of logarithmic returns during the month of May 2013 for the 14 leading FX time series.Note that autocorrelations are symmetric by definition.

Forex hour-scale zero-lag intermarket correlation heatmap for May 2013

2D 0-lag FX intermarket correlation pattern for AUDJPY, AUDUSD, CHFJPY, EURAUD, EURCHF, EURGBP, EURJPY, EURUSD, GBPCHF, GBPJPY, GBPUSD, USDCAD, USDCHF, USDJPY May 2013

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 2013

2D 1-lag FX intermarket correlation pattern for AUDJPY, AUDUSD, CHFJPY, EURAUD, EURCHF, EURGBP, EURJPY, EURUSD, GBPCHF, GBPJPY, GBPUSD, USDCAD, USDCHF, USDJPY May 2013

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 2013

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