August 2008 Correlation Report

Thursday, 23 February 2012 07:35
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August 2008 Correlation Report
Correlations of AUD/JPY with other currency pairs for August 2008
Correlations of AUD/USD with other currency pairs for August 2008
Correlations of CHF/JPY with other currency pairs for August 2008
Correlations of EUR/AUD with other currency pairs for August 2008
Correlations of EUR/CHF with other currency pairs for August 2008
Correlations of EUR/GBP with other currency pairs for August 2008
Correlations of EUR/JPY with other currency pairs for August 2008
Correlations of EUR/USD with other currency pairs for August 2008
Correlations of GBP/CHF with other currency pairs for August 2008
Correlations of GBP/JPY with other currency pairs for August 2008
Correlations of GBP/USD with other currency pairs for August 2008
Correlations of USD/CAD with other currency pairs for August 2008
Correlations of USD/CHF with other currency pairs for August 2008
Correlations of USD/JPY with other currency pairs for August 2008
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Forex Correlation Analysis Report

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 August 2008. CERPI -- Currency Exchange Rate Predictability Index, CERCSI -- Currency Exchange Rate Correlation Strength Index.

volatility 1H.1M CERCSI 1H.1M CERPI 1H.1M
0.00132806 0.365523 0.0417371

Forex autocorrelations for August 2008

AUDJPY_rac_and_AUDJPY_rac_correl lagged FX correlation histogram August 2008 AUDUSD_rac_and_AUDUSD_rac_correl lagged FX correlation histogram August 2008 CHFJPY_rac_and_CHFJPY_rac_correl lagged FX correlation histogram August 2008 EURAUD_rac_and_EURAUD_rac_correl lagged FX correlation histogram August 2008 EURCHF_rac_and_EURCHF_rac_correl lagged FX correlation histogram August 2008 EURGBP_rac_and_EURGBP_rac_correl lagged FX correlation histogram August 2008 EURJPY_rac_and_EURJPY_rac_correl lagged FX correlation histogram August 2008 EURUSD_rac_and_EURUSD_rac_correl lagged FX correlation histogram August 2008 GBPCHF_rac_and_GBPCHF_rac_correl lagged FX correlation histogram August 2008 GBPJPY_rac_and_GBPJPY_rac_correl lagged FX correlation histogram August 2008 GBPUSD_rac_and_GBPUSD_rac_correl lagged FX correlation histogram August 2008 USDCAD_rac_and_USDCAD_rac_correl lagged FX correlation histogram August 2008 USDCHF_rac_and_USDCHF_rac_correl lagged FX correlation histogram August 2008 USDJPY_rac_and_USDJPY_rac_correl lagged FX correlation histogram August 2008

Fig.1. Hour-scale autocorrelations of logarithmic returns during the month of August 2008 for the 14 leading FX time series. Note that autocorrelations are symmetric by definition.

Forex hour-scale zero-lag intermarket correlation fingerprint for August 2008

2D 0-lag FX intermarket correlation pattern for AUDJPY, AUDUSD, CHFJPY, EURAUD, EURCHF, EURGBP, EURJPY, EURUSD, GBPCHF, GBPJPY, GBPUSD, USDCAD, USDCHF, USDJPY August 2008

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 August 2008

2D 1-lag FX intermarket correlation pattern for AUDJPY, AUDUSD, CHFJPY, EURAUD, EURCHF, EURGBP, EURJPY, EURUSD, GBPCHF, GBPJPY, GBPUSD, USDCAD, USDCHF, USDJPY August 2008

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 August 2008

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



Last Updated ( Friday, 16 November 2012 09:45 )