Forex Correlation Analysis Reports 1H.1M

Forex Correlations

Bouts of panic in the markets, such as seen in Fall 2008, during the "Flash Crash" of 2010, or after the US credit rating downgrade in 2011, are characterized not only by high volatility, but also by unusually high degree of correlation among the instruments. The concept of portfolio diversification collapses, as the universe of financial instruments degenerates into risky assets and safe haven assets.

To characterize the picture of correlation in the spot currency markets in its evolution, at least three aspects are needed:

  1. volatility
  2. strength of "instantaneous" correlation among the time series
  3. presence of lagged correlation effects among the instruments and within the individual time series of the time series

In this section, ForexAutomaton monitors and publishes information about degree of correlation among the spot FX rates in the form of correlation reports obtained on hourly time scale (1H), each report processing a month-long piece of data (1M).

CERCSI (which stands for Currency Exchange Rate Correlation Strength Index), and CERPI (Currency Exchange Rate Predictability Index) are ForexAutomaton tools designed to monitor the degree of degeneracy in the correlations among the currency exchange rates, and the degree of market inefficiency, respectively. Both are explained in separate articles.  

New reports are added monthly.  

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

volatility 1H.1M CERCSI 1H.1M CERPI 1H.1M
0.00250435 0.442031 0.0477383
Read more...
 
August 2008 Correlation Report
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
Read more...
 
July 2008 Correlation Report
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 July 2008. CERPI -- Currency Exchange Rate Predictability Index, CERCSI -- Currency Exchange Rate Correlation Strength Index.

volatility 1H.1M CERCSI 1H.1M CERPI 1H.1M
0.00104096 0.380378 0.0390054
Read more...
 
June 2008 Correlation Report
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 June 2008. CERPI -- Currency Exchange Rate Predictability Index, CERCSI -- Currency Exchange Rate Correlation Strength Index.

volatility 1H.1M CERCSI 1H.1M CERPI 1H.1M
0.00114498 0.373601 0.0372972
Read more...
 
May 2008 Correlation 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 May 2008. CERPI -- Currency Exchange Rate Predictability Index, CERCSI -- Currency Exchange Rate Correlation Strength Index.

volatility 1H.1M CERCSI 1H.1M CERPI 1H.1M
0.00121602 0.356275 0.0457751
Read more...
 
April 2008 Correlation 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 April 2008. CERPI -- Currency Exchange Rate Predictability Index, CERCSI -- Currency Exchange Rate Correlation Strength Index.

volatility 1H.1M CERCSI 1H.1M CERPI 1H.1M
0.00143712 0.378639 0.0422933
Read more...
 
March 2008 Correlation Report
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 March 2008. CERPI -- Currency Exchange Rate Predictability Index, CERCSI -- Currency Exchange Rate Correlation Strength Index.

volatility 1H.1M CERCSI 1H.1M CERPI 1H.1M
0.00186963 0.408126 0.0404265
Read more...
 
February 2008 Correlation Report
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 February 2008. CERPI -- Currency Exchange Rate Predictability Index, CERCSI -- Currency Exchange Rate Correlation Strength Index.

volatility 1H.1M CERCSI 1H.1M CERPI 1H.1M
0.00127724 0.359778 0.0461244
Read more...
 
January 2008 Correlation Report
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 January 2008. CERPI -- Currency Exchange Rate Predictability Index, CERCSI -- Currency Exchange Rate Correlation Strength Index.

volatility 1H.1M CERCSI 1H.1M CERPI 1H.1M
0.00166617 0.416622 0.0532648
Read more...
 
December 2007 Correlation 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 December 2007. CERPI -- Currency Exchange Rate Predictability Index, CERCSI -- Currency Exchange Rate Correlation Strength Index.

volatility 1H.1M CERCSI 1H.1M CERPI 1H.1M
0.00131711 0.358307 0.0338842
Read more...
 
November 2007 Correlation 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 November 2007. CERPI -- Currency Exchange Rate Predictability Index, CERCSI -- Currency Exchange Rate Correlation Strength Index.

volatility 1H.1M CERCSI 1H.1M CERPI 1H.1M
0.00166675 0.433336 0.0353999
Read more...
 
October 2007 Correlation 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 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
Read more...
 
September 2007 Correlation 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 September 2007. CERPI -- Currency Exchange Rate Predictability Index, CERCSI -- Currency Exchange Rate Correlation Strength Index.

volatility 1H.1M CERCSI 1H.1M CERPI 1H.1M
0.00117182 0.378026 0.048393
Read more...
 
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