October 2007 Correlation Report

Thursday, 23 February 2012 04:25
Article Index
October 2007 Correlation Report
Correlations of AUD/JPY with other currency pairs for October 2007
Correlations of AUD/USD with other currency pairs for October 2007
Correlations of CHF/JPY with other currency pairs for October 2007
Correlations of EUR/AUD with other currency pairs for October 2007
Correlations of EUR/CHF with other currency pairs for October 2007
Correlations of EUR/GBP with other currency pairs for October 2007
Correlations of EUR/JPY with other currency pairs for October 2007
Correlations of EUR/USD with other currency pairs for October 2007
Correlations of GBP/CHF with other currency pairs for October 2007
Correlations of GBP/JPY with other currency pairs for October 2007
Correlations of GBP/USD with other currency pairs for October 2007
Correlations of USD/CAD with other currency pairs for October 2007
Correlations of USD/CHF with other currency pairs for October 2007
Correlations of USD/JPY with other currency pairs for October 2007
All Pages

This monthly forex correlation analysis report is computer-generated. 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 October 2007. CERPI -- Currency Exchange Rate Predictability Index, CERCSI -- Currency Exchange Rate Correlation Strength Index.

volatility 1H.1M CERCSI 1H.1M CERPI 1H.1M
0.00119587 0.402281 0.0521461

Forex autocorrelations for October 2007

AUDJPY_rac_and_AUDJPY_rac_correl lagged FX correlation histogram October 2007 AUDUSD_rac_and_AUDUSD_rac_correl lagged FX correlation histogram October 2007 CHFJPY_rac_and_CHFJPY_rac_correl lagged FX correlation histogram October 2007 EURAUD_rac_and_EURAUD_rac_correl lagged FX correlation histogram October 2007 EURCHF_rac_and_EURCHF_rac_correl lagged FX correlation histogram October 2007 EURGBP_rac_and_EURGBP_rac_correl lagged FX correlation histogram October 2007 EURJPY_rac_and_EURJPY_rac_correl lagged FX correlation histogram October 2007 EURUSD_rac_and_EURUSD_rac_correl lagged FX correlation histogram October 2007 GBPCHF_rac_and_GBPCHF_rac_correl lagged FX correlation histogram October 2007 GBPJPY_rac_and_GBPJPY_rac_correl lagged FX correlation histogram October 2007 GBPUSD_rac_and_GBPUSD_rac_correl lagged FX correlation histogram October 2007 USDCAD_rac_and_USDCAD_rac_correl lagged FX correlation histogram October 2007 USDCHF_rac_and_USDCHF_rac_correl lagged FX correlation histogram October 2007 USDJPY_rac_and_USDJPY_rac_correl lagged FX correlation histogram October 2007

Fig.1. Hour-scale autocorrelations of logarithmic returns during the month of October 2007 for the 14 leading FX time series. Note that autocorrelations are symmetric by definition.

Forex hour-scale zero-lag intermarket correlation fingerprint for October 2007

2D 0-lag FX intermarket correlation pattern for AUDJPY, AUDUSD, CHFJPY, EURAUD, EURCHF, EURGBP, EURJPY, EURUSD, GBPCHF, GBPJPY, GBPUSD, USDCAD, USDCHF, USDJPY October 2007

Fig.2. The zero-lag correlation fingerprint is a 2D arrangement of Pearson correlation coefficients such that any bin in the i-th row and j-th column contains the correlation coefficient between time series i and time series j, with numbers assigned 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 fingerprint for October 2007

2D 1-lag FX intermarket correlation pattern for AUDJPY, AUDUSD, CHFJPY, EURAUD, EURCHF, EURGBP, EURJPY, EURUSD, GBPCHF, GBPJPY, GBPUSD, USDCAD, USDCHF, USDJPY October 2007

Fig.3. The unit-lag correlation fingerprint is a 2D arrangement of Pearson correlation coefficients such that any bin in the i-th row and j-th column contains the correlation coefficient between time series i and time series j, with numbers assigned 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 October 2007

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


Pearson_AUDJPY_rac_and_AUDUSD_rac_correl lagged FX correlation histogram October 2007 Pearson_AUDJPY_rac_and_CHFJPY_rac_correl lagged FX correlation histogram October 2007 Pearson_AUDJPY_rac_and_EURAUD_rac_correl lagged FX correlation histogram October 2007 Pearson_AUDJPY_rac_and_EURCHF_rac_correl lagged FX correlation histogram October 2007 Pearson_AUDJPY_rac_and_EURGBP_rac_correl lagged FX correlation histogram October 2007 Pearson_AUDJPY_rac_and_EURJPY_rac_correl lagged FX correlation histogram October 2007 Pearson_AUDJPY_rac_and_EURUSD_rac_correl lagged FX correlation histogram October 2007 Pearson_AUDJPY_rac_and_GBPCHF_rac_correl lagged FX correlation histogram October 2007 Pearson_AUDJPY_rac_and_GBPJPY_rac_correl lagged FX correlation histogram October 2007 Pearson_AUDJPY_rac_and_GBPUSD_rac_correl lagged FX correlation histogram October 2007 Pearson_AUDJPY_rac_and_USDCAD_rac_correl lagged FX correlation histogram October 2007 Pearson_AUDJPY_rac_and_USDCHF_rac_correl lagged FX correlation histogram October 2007 Pearson_AUDJPY_rac_and_USDJPY_rac_correl lagged FX correlation histogram October 2007

Fig.4.1 Hour-scale inter-market correlations of logarithmic returns during the month of October 2007 between AUD/JPY and 13 other leading FX time series.


Pearson_AUDJPY_rac_and_AUDUSD_rac_correl lagged FX correlation histogram October 2007 Pearson_AUDUSD_rac_and_CHFJPY_rac_correl lagged FX correlation histogram October 2007 Pearson_AUDUSD_rac_and_EURAUD_rac_correl lagged FX correlation histogram October 2007 Pearson_AUDUSD_rac_and_EURCHF_rac_correl lagged FX correlation histogram October 2007 Pearson_AUDUSD_rac_and_EURGBP_rac_correl lagged FX correlation histogram October 2007 Pearson_AUDUSD_rac_and_EURJPY_rac_correl lagged FX correlation histogram October 2007 Pearson_AUDUSD_rac_and_EURUSD_rac_correl lagged FX correlation histogram October 2007 Pearson_AUDUSD_rac_and_GBPCHF_rac_correl lagged FX correlation histogram October 2007 Pearson_AUDUSD_rac_and_GBPJPY_rac_correl lagged FX correlation histogram October 2007 Pearson_AUDUSD_rac_and_GBPUSD_rac_correl lagged FX correlation histogram October 2007 Pearson_AUDUSD_rac_and_USDCAD_rac_correl lagged FX correlation histogram October 2007 Pearson_AUDUSD_rac_and_USDCHF_rac_correl lagged FX correlation histogram October 2007 Pearson_AUDUSD_rac_and_USDJPY_rac_correl lagged FX correlation histogram October 2007

Fig.4.2 Hour-scale inter-market correlations of logarithmic returns during the month of October 2007 between AUD/USD and 13 other leading FX time series.


Pearson_AUDJPY_rac_and_CHFJPY_rac_correl lagged FX correlation histogram October 2007 Pearson_AUDUSD_rac_and_CHFJPY_rac_correl lagged FX correlation histogram October 2007 Pearson_CHFJPY_rac_and_EURAUD_rac_correl lagged FX correlation histogram October 2007 Pearson_CHFJPY_rac_and_EURCHF_rac_correl lagged FX correlation histogram October 2007 Pearson_CHFJPY_rac_and_EURGBP_rac_correl lagged FX correlation histogram October 2007 Pearson_CHFJPY_rac_and_EURJPY_rac_correl lagged FX correlation histogram October 2007 Pearson_CHFJPY_rac_and_EURUSD_rac_correl lagged FX correlation histogram October 2007 Pearson_CHFJPY_rac_and_GBPCHF_rac_correl lagged FX correlation histogram October 2007 Pearson_CHFJPY_rac_and_GBPJPY_rac_correl lagged FX correlation histogram October 2007 Pearson_CHFJPY_rac_and_GBPUSD_rac_correl lagged FX correlation histogram October 2007 Pearson_CHFJPY_rac_and_USDCAD_rac_correl lagged FX correlation histogram October 2007 Pearson_CHFJPY_rac_and_USDCHF_rac_correl lagged FX correlation histogram October 2007 Pearson_CHFJPY_rac_and_USDJPY_rac_correl lagged FX correlation histogram October 2007

Fig.4.3 Hour-scale inter-market correlations of logarithmic returns during the month of October 2007 between CHF/JPY and 13 other leading FX time series.


Pearson_AUDJPY_rac_and_EURAUD_rac_correl lagged FX correlation histogram October 2007 Pearson_AUDUSD_rac_and_EURAUD_rac_correl lagged FX correlation histogram October 2007 Pearson_CHFJPY_rac_and_EURAUD_rac_correl lagged FX correlation histogram October 2007 Pearson_EURAUD_rac_and_EURCHF_rac_correl lagged FX correlation histogram October 2007 Pearson_EURAUD_rac_and_EURGBP_rac_correl lagged FX correlation histogram October 2007 Pearson_EURAUD_rac_and_EURJPY_rac_correl lagged FX correlation histogram October 2007 Pearson_EURAUD_rac_and_EURUSD_rac_correl lagged FX correlation histogram October 2007 Pearson_EURAUD_rac_and_GBPCHF_rac_correl lagged FX correlation histogram October 2007 Pearson_EURAUD_rac_and_GBPJPY_rac_correl lagged FX correlation histogram October 2007 Pearson_EURAUD_rac_and_GBPUSD_rac_correl lagged FX correlation histogram October 2007 Pearson_EURAUD_rac_and_USDCAD_rac_correl lagged FX correlation histogram October 2007 Pearson_EURAUD_rac_and_USDCHF_rac_correl lagged FX correlation histogram October 2007 Pearson_EURAUD_rac_and_USDJPY_rac_correl lagged FX correlation histogram October 2007

Fig.4.4 Hour-scale inter-market correlations of logarithmic returns during the month of October 2007 between EUR/AUD and 13 other leading FX time series.


Pearson_AUDJPY_rac_and_EURCHF_rac_correl lagged FX correlation histogram October 2007 Pearson_AUDUSD_rac_and_EURCHF_rac_correl lagged FX correlation histogram October 2007 Pearson_CHFJPY_rac_and_EURCHF_rac_correl lagged FX correlation histogram October 2007 Pearson_EURAUD_rac_and_EURCHF_rac_correl lagged FX correlation histogram October 2007 Pearson_EURCHF_rac_and_EURGBP_rac_correl lagged FX correlation histogram October 2007 Pearson_EURCHF_rac_and_EURJPY_rac_correl lagged FX correlation histogram October 2007 Pearson_EURCHF_rac_and_EURUSD_rac_correl lagged FX correlation histogram October 2007 Pearson_EURCHF_rac_and_GBPCHF_rac_correl lagged FX correlation histogram October 2007 Pearson_EURCHF_rac_and_GBPJPY_rac_correl lagged FX correlation histogram October 2007 Pearson_EURCHF_rac_and_GBPUSD_rac_correl lagged FX correlation histogram October 2007 Pearson_EURCHF_rac_and_USDCAD_rac_correl lagged FX correlation histogram October 2007 Pearson_EURCHF_rac_and_USDCHF_rac_correl lagged FX correlation histogram October 2007 Pearson_EURCHF_rac_and_USDJPY_rac_correl lagged FX correlation histogram October 2007

Fig.4.5 Hour-scale inter-market correlations of logarithmic returns during the month of October 2007 between EUR/CHF and 13 other leading FX time series.


Pearson_AUDJPY_rac_and_EURGBP_rac_correl lagged FX correlation histogram October 2007 Pearson_AUDUSD_rac_and_EURGBP_rac_correl lagged FX correlation histogram October 2007 Pearson_CHFJPY_rac_and_EURGBP_rac_correl lagged FX correlation histogram October 2007 Pearson_EURAUD_rac_and_EURGBP_rac_correl lagged FX correlation histogram October 2007 Pearson_EURCHF_rac_and_EURGBP_rac_correl lagged FX correlation histogram October 2007 Pearson_EURGBP_rac_and_EURJPY_rac_correl lagged FX correlation histogram October 2007 Pearson_EURGBP_rac_and_EURUSD_rac_correl lagged FX correlation histogram October 2007 Pearson_EURGBP_rac_and_GBPCHF_rac_correl lagged FX correlation histogram October 2007 Pearson_EURGBP_rac_and_GBPJPY_rac_correl lagged FX correlation histogram October 2007 Pearson_EURGBP_rac_and_GBPUSD_rac_correl lagged FX correlation histogram October 2007 Pearson_EURGBP_rac_and_USDCAD_rac_correl lagged FX correlation histogram October 2007 Pearson_EURGBP_rac_and_USDCHF_rac_correl lagged FX correlation histogram October 2007 Pearson_EURGBP_rac_and_USDJPY_rac_correl lagged FX correlation histogram October 2007

Fig.4.6 Hour-scale inter-market correlations of logarithmic returns during the month of October 2007 between EUR/GBP and 13 other leading FX time series.


Pearson_AUDJPY_rac_and_EURJPY_rac_correl lagged FX correlation histogram October 2007 Pearson_AUDUSD_rac_and_EURJPY_rac_correl lagged FX correlation histogram October 2007 Pearson_CHFJPY_rac_and_EURJPY_rac_correl lagged FX correlation histogram October 2007 Pearson_EURAUD_rac_and_EURJPY_rac_correl lagged FX correlation histogram October 2007 Pearson_EURCHF_rac_and_EURJPY_rac_correl lagged FX correlation histogram October 2007 Pearson_EURGBP_rac_and_EURJPY_rac_correl lagged FX correlation histogram October 2007 Pearson_EURJPY_rac_and_EURUSD_rac_correl lagged FX correlation histogram October 2007 Pearson_EURJPY_rac_and_GBPCHF_rac_correl lagged FX correlation histogram October 2007 Pearson_EURJPY_rac_and_GBPJPY_rac_correl lagged FX correlation histogram October 2007 Pearson_EURJPY_rac_and_GBPUSD_rac_correl lagged FX correlation histogram October 2007 Pearson_EURJPY_rac_and_USDCAD_rac_correl lagged FX correlation histogram October 2007 Pearson_EURJPY_rac_and_USDCHF_rac_correl lagged FX correlation histogram October 2007 Pearson_EURJPY_rac_and_USDJPY_rac_correl lagged FX correlation histogram October 2007

Fig.4.7 Hour-scale inter-market correlations of logarithmic returns during the month of October 2007 between EUR/JPY and 13 other leading FX time series.


Pearson_AUDJPY_rac_and_EURUSD_rac_correl lagged FX correlation histogram October 2007 Pearson_AUDUSD_rac_and_EURUSD_rac_correl lagged FX correlation histogram October 2007 Pearson_CHFJPY_rac_and_EURUSD_rac_correl lagged FX correlation histogram October 2007 Pearson_EURAUD_rac_and_EURUSD_rac_correl lagged FX correlation histogram October 2007 Pearson_EURCHF_rac_and_EURUSD_rac_correl lagged FX correlation histogram October 2007 Pearson_EURGBP_rac_and_EURUSD_rac_correl lagged FX correlation histogram October 2007 Pearson_EURJPY_rac_and_EURUSD_rac_correl lagged FX correlation histogram October 2007 Pearson_EURUSD_rac_and_GBPCHF_rac_correl lagged FX correlation histogram October 2007 Pearson_EURUSD_rac_and_GBPJPY_rac_correl lagged FX correlation histogram October 2007 Pearson_EURUSD_rac_and_GBPUSD_rac_correl lagged FX correlation histogram October 2007 Pearson_EURUSD_rac_and_USDCAD_rac_correl lagged FX correlation histogram October 2007 Pearson_EURUSD_rac_and_USDCHF_rac_correl lagged FX correlation histogram October 2007 Pearson_EURUSD_rac_and_USDJPY_rac_correl lagged FX correlation histogram October 2007

Fig.4.8 Hour-scale inter-market correlations of logarithmic returns during the month of October 2007 between EUR/USD and 13 other leading FX time series.


Pearson_AUDJPY_rac_and_GBPCHF_rac_correl lagged FX correlation histogram October 2007 Pearson_AUDUSD_rac_and_GBPCHF_rac_correl lagged FX correlation histogram October 2007 Pearson_CHFJPY_rac_and_GBPCHF_rac_correl lagged FX correlation histogram October 2007 Pearson_EURAUD_rac_and_GBPCHF_rac_correl lagged FX correlation histogram October 2007 Pearson_EURCHF_rac_and_GBPCHF_rac_correl lagged FX correlation histogram October 2007 Pearson_EURGBP_rac_and_GBPCHF_rac_correl lagged FX correlation histogram October 2007 Pearson_EURJPY_rac_and_GBPCHF_rac_correl lagged FX correlation histogram October 2007 Pearson_EURUSD_rac_and_GBPCHF_rac_correl lagged FX correlation histogram October 2007 Pearson_GBPCHF_rac_and_GBPJPY_rac_correl lagged FX correlation histogram October 2007 Pearson_GBPCHF_rac_and_GBPUSD_rac_correl lagged FX correlation histogram October 2007 Pearson_GBPCHF_rac_and_USDCAD_rac_correl lagged FX correlation histogram October 2007 Pearson_GBPCHF_rac_and_USDCHF_rac_correl lagged FX correlation histogram October 2007 Pearson_GBPCHF_rac_and_USDJPY_rac_correl lagged FX correlation histogram October 2007

Fig.4.9 Hour-scale inter-market correlations of logarithmic returns during the month of October 2007 between GBP/CHF and 13 other leading FX time series.


Pearson_AUDJPY_rac_and_GBPJPY_rac_correl lagged FX correlation histogram October 2007 Pearson_AUDUSD_rac_and_GBPJPY_rac_correl lagged FX correlation histogram October 2007 Pearson_CHFJPY_rac_and_GBPJPY_rac_correl lagged FX correlation histogram October 2007 Pearson_EURAUD_rac_and_GBPJPY_rac_correl lagged FX correlation histogram October 2007 Pearson_EURCHF_rac_and_GBPJPY_rac_correl lagged FX correlation histogram October 2007 Pearson_EURGBP_rac_and_GBPJPY_rac_correl lagged FX correlation histogram October 2007 Pearson_EURJPY_rac_and_GBPJPY_rac_correl lagged FX correlation histogram October 2007 Pearson_EURUSD_rac_and_GBPJPY_rac_correl lagged FX correlation histogram October 2007 Pearson_GBPCHF_rac_and_GBPJPY_rac_correl lagged FX correlation histogram October 2007 Pearson_GBPJPY_rac_and_GBPUSD_rac_correl lagged FX correlation histogram October 2007 Pearson_GBPJPY_rac_and_USDCAD_rac_correl lagged FX correlation histogram October 2007 Pearson_GBPJPY_rac_and_USDCHF_rac_correl lagged FX correlation histogram October 2007 Pearson_GBPJPY_rac_and_USDJPY_rac_correl lagged FX correlation histogram October 2007

Fig.4.10 Hour-scale inter-market correlations of logarithmic returns during the month of October 2007 between GBP/JPY and 13 other leading FX time series.


Pearson_AUDJPY_rac_and_GBPUSD_rac_correl lagged FX correlation histogram October 2007 Pearson_AUDUSD_rac_and_GBPUSD_rac_correl lagged FX correlation histogram October 2007 Pearson_CHFJPY_rac_and_GBPUSD_rac_correl lagged FX correlation histogram October 2007 Pearson_EURAUD_rac_and_GBPUSD_rac_correl lagged FX correlation histogram October 2007 Pearson_EURCHF_rac_and_GBPUSD_rac_correl lagged FX correlation histogram October 2007 Pearson_EURGBP_rac_and_GBPUSD_rac_correl lagged FX correlation histogram October 2007 Pearson_EURJPY_rac_and_GBPUSD_rac_correl lagged FX correlation histogram October 2007 Pearson_EURUSD_rac_and_GBPUSD_rac_correl lagged FX correlation histogram October 2007 Pearson_GBPCHF_rac_and_GBPUSD_rac_correl lagged FX correlation histogram October 2007 Pearson_GBPJPY_rac_and_GBPUSD_rac_correl lagged FX correlation histogram October 2007 Pearson_GBPUSD_rac_and_USDCAD_rac_correl lagged FX correlation histogram October 2007 Pearson_GBPUSD_rac_and_USDCHF_rac_correl lagged FX correlation histogram October 2007 Pearson_GBPUSD_rac_and_USDJPY_rac_correl lagged FX correlation histogram October 2007

Fig.4.11 Hour-scale inter-market correlations of logarithmic returns during the month of October 2007 between GBP/JPY and 13 other leading FX time series.


Pearson_AUDJPY_rac_and_USDCAD_rac_correl lagged FX correlation histogram October 2007 Pearson_AUDUSD_rac_and_USDCAD_rac_correl lagged FX correlation histogram October 2007 Pearson_CHFJPY_rac_and_USDCAD_rac_correl lagged FX correlation histogram October 2007 Pearson_EURAUD_rac_and_USDCAD_rac_correl lagged FX correlation histogram October 2007 Pearson_EURCHF_rac_and_USDCAD_rac_correl lagged FX correlation histogram October 2007 Pearson_EURGBP_rac_and_USDCAD_rac_correl lagged FX correlation histogram October 2007 Pearson_EURJPY_rac_and_USDCAD_rac_correl lagged FX correlation histogram October 2007 Pearson_EURUSD_rac_and_USDCAD_rac_correl lagged FX correlation histogram October 2007 Pearson_GBPCHF_rac_and_USDCAD_rac_correl lagged FX correlation histogram October 2007 Pearson_GBPJPY_rac_and_USDCAD_rac_correl lagged FX correlation histogram October 2007 Pearson_GBPUSD_rac_and_USDCAD_rac_correl lagged FX correlation histogram October 2007 Pearson_USDCAD_rac_and_USDCHF_rac_correl lagged FX correlation histogram October 2007 Pearson_USDCAD_rac_and_USDJPY_rac_correl lagged FX correlation histogram October 2007

Fig.4.12 Hour-scale inter-market correlations of logarithmic returns during the month of October 2007 between USD/CAD and 13 other leading FX time series.


Pearson_AUDJPY_rac_and_USDCHF_rac_correl lagged FX correlation histogram October 2007 Pearson_AUDUSD_rac_and_USDCHF_rac_correl lagged FX correlation histogram October 2007 Pearson_CHFJPY_rac_and_USDCHF_rac_correl lagged FX correlation histogram October 2007 Pearson_EURAUD_rac_and_USDCHF_rac_correl lagged FX correlation histogram October 2007 Pearson_EURCHF_rac_and_USDCHF_rac_correl lagged FX correlation histogram October 2007 Pearson_EURGBP_rac_and_USDCHF_rac_correl lagged FX correlation histogram October 2007 Pearson_EURJPY_rac_and_USDCHF_rac_correl lagged FX correlation histogram October 2007 Pearson_EURUSD_rac_and_USDCHF_rac_correl lagged FX correlation histogram October 2007 Pearson_GBPCHF_rac_and_USDCHF_rac_correl lagged FX correlation histogram October 2007 Pearson_GBPJPY_rac_and_USDCHF_rac_correl lagged FX correlation histogram October 2007 Pearson_GBPUSD_rac_and_USDCHF_rac_correl lagged FX correlation histogram October 2007 Pearson_USDCAD_rac_and_USDCHF_rac_correl lagged FX correlation histogram October 2007 Pearson_USDCHF_rac_and_USDJPY_rac_correl lagged FX correlation histogram October 2007

Fig.4.13 Hour-scale inter-market correlations of logarithmic returns during the month of October 2007 between USD/CHF and 13 other leading FX time series.


Pearson_AUDJPY_rac_and_USDJPY_rac_correl lagged FX correlation histogram October 2007 Pearson_AUDUSD_rac_and_USDJPY_rac_correl lagged FX correlation histogram October 2007 Pearson_CHFJPY_rac_and_USDJPY_rac_correl lagged FX correlation histogram October 2007 Pearson_EURAUD_rac_and_USDJPY_rac_correl lagged FX correlation histogram October 2007 Pearson_EURCHF_rac_and_USDJPY_rac_correl lagged FX correlation histogram October 2007 Pearson_EURGBP_rac_and_USDJPY_rac_correl lagged FX correlation histogram October 2007 Pearson_EURJPY_rac_and_USDJPY_rac_correl lagged FX correlation histogram October 2007 Pearson_EURUSD_rac_and_USDJPY_rac_correl lagged FX correlation histogram October 2007 Pearson_GBPCHF_rac_and_USDJPY_rac_correl lagged FX correlation histogram October 2007 Pearson_GBPJPY_rac_and_USDJPY_rac_correl lagged FX correlation histogram October 2007 Pearson_GBPUSD_rac_and_USDJPY_rac_correl lagged FX correlation histogram October 2007 Pearson_USDCAD_rac_and_USDJPY_rac_correl lagged FX correlation histogram October 2007 Pearson_USDCHF_rac_and_USDJPY_rac_correl lagged FX correlation histogram October 2007

Fig.4.14 Hour-scale inter-market correlations of logarithmic returns during the month of October 2007 between USD/JPY and 13 other leading FX time series.

Bookmark with:

Deli.cio.us    Digg    reddit    Facebook    StumbleUpon    Newsvine
Last Updated ( Friday, 16 November 2012 13:48 )