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.  

Bookmark with:

Deli.cio.us    Digg    reddit    Facebook    StumbleUpon    Newsvine


August 2006 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 August 2006. CERPI -- Currency Exchange Rate Predictability Index, CERCSI -- Currency Exchange Rate Correlation Strength Index.

volatility 1H.1M CERCSI 1H.1M CERPI 1H.1M
0.000849851 0.332508 0.0412193
Read more...
 
July 2006 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 July 2006. CERPI -- Currency Exchange Rate Predictability Index, CERCSI -- Currency Exchange Rate Correlation Strength Index.

volatility 1H.1M CERCSI 1H.1M CERPI 1H.1M
0.000824142 0.304375 0.0428109
Read more...
 
June 2006 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 June 2006. CERPI -- Currency Exchange Rate Predictability Index, CERCSI -- Currency Exchange Rate Correlation Strength Index.

volatility 1H.1M CERCSI 1H.1M CERPI 1H.1M
0.00097015 0.314082 0.0518668
Read more...
 
May 2006 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 2006. CERPI -- Currency Exchange Rate Predictability Index, CERCSI -- Currency Exchange Rate Correlation Strength Index.

volatility 1H.1M CERCSI 1H.1M CERPI 1H.1M
0.00115891 0.321675 0.0538751
Read more...
 
April 2006 Correlation Report

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 2006. CERPI -- Currency Exchange Rate Predictability Index, CERCSI -- Currency Exchange Rate Correlation Strength Index.

volatility 1H.1M CERCSI 1H.1M CERPI 1H.1M
0.000984409 0.316848 0.0485422
Read more...
 
March 2006 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 March 2006. CERPI -- Currency Exchange Rate Predictability Index, CERCSI -- Currency Exchange Rate Correlation Strength Index.

volatility 1H.1M CERCSI 1H.1M CERPI 1H.1M
0.000967884 0.303913 0.0542942
Read more...
 
February 2006 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 February 2006. CERPI -- Currency Exchange Rate Predictability Index, CERCSI -- Currency Exchange Rate Correlation Strength Index.

volatility 1H.1M CERCSI 1H.1M CERPI 1H.1M
0.000874098 0.314923 0.0403917
Read more...
 
January 2006 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 January 2006. CERPI -- Currency Exchange Rate Predictability Index, CERCSI -- Currency Exchange Rate Correlation Strength Index.

volatility 1H.1M CERCSI 1H.1M CERPI 1H.1M
0.000999687 0.313865 0.0540851
Read more...
 
December 2005 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 2005. CERPI -- Currency Exchange Rate Predictability Index, CERCSI -- Currency Exchange Rate Correlation Strength Index.

volatility 1H.1M CERCSI 1H.1M CERPI 1H.1M
0.00104643 0.316536 0.0552976
Read more...
 
November 2005 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 2005. CERPI -- Currency Exchange Rate Predictability Index, CERCSI -- Currency Exchange Rate Correlation Strength Index.

volatility 1H.1M CERCSI 1H.1M CERPI 1H.1M
0.000940606 0.352209 0.0451343
Read more...
 
October 2005 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 2005. CERPI -- Currency Exchange Rate Predictability Index, CERCSI -- Currency Exchange Rate Correlation Strength Index.

volatility 1H.1M CERCSI 1H.1M CERPI 1H.1M
0.000902165 0.338133 0.0414603
Read more...
 
September 2005 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 2005. CERPI -- Currency Exchange Rate Predictability Index, CERCSI -- Currency Exchange Rate Correlation Strength Index.

volatility 1H.1M CERCSI 1H.1M CERPI 1H.1M
0.000949066 0.319828 0.0395005
Read more...
 
August 2005 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 August 2005. CERPI -- Currency Exchange Rate Predictability Index, CERCSI -- Currency Exchange Rate Correlation Strength Index.

volatility 1H.1M CERCSI 1H.1M CERPI 1H.1M
0.000898688 0.331623 0.0459394
Read more...
 
<< Start < Prev 1 2 3 4 5 6 7 Next > End >>

Page 6 of 7