Forex Research

FX and LIBOR time series predictability, correlations, cumulants

As a free service, we provide an overview of salient predictable trading opportunities detected in historical Forex hour-by-hour data since 2002 using a subset of our analysis techniques. The purpose of this overview is two-fold. First, we falsify the "efficient market hypothesis" for the Forex markets for the period in question. Indeed, Forex markets have not been "casino markets" -- a condition sine qua non for the mission of this site, meaning that a trader can profit in a sustainable way. Second, we discuss the strategies of such profit-making as they emerge as a spin-off of our way of detecting market inefficiency, and offer more technical materials focused on the trading system development. Basic terms and concepts are explained in the Key Concepts subsection.

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  • Have the Forex markets been efficient?   ( 103 Articles )

    A series of articles about correlation features of individual currency pairs and their combinations. 

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  • Key Concepts   ( 25 Articles )

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  • Forex trading system: are we there yet?   ( 91 Articles )

    A series of articles on the automated forex trading system development.

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  • LIBOR-o-logy   ( 17 Articles )

    A series of analysis reports investigating degree of predictability in the LIBOR rates, a popular capital cost indicator, via correlation techniques. The analysis is based on historical LIBOR interest rate data released by the British Bankers Association.

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  • Time evolution of forex inefficiencies   ( 41 Articles )

    Any statistical test of market inefficiency requires a finite time of observation. The series of notes surveying historical inefficiencies of forex, posted here under the rhetorical title "Have the forex markets been efficient?", were based on data covering time interval of about five and a half years. In many cases, significant predictive correlations have been detected, having survived the time averaging process. To be of practical value for forecasting and algorithmic trading, these features have to be expectable in the future, at least in principle. A rare but huge event and a frequent one of a moderate magnitude may leave the same trace on the autocorrelation. At the very least, one must ensure that these time-averaged signals are not merely diluted residues of one or two rare events. The focus of this series of notes is time continuity, time evolution, and analysis of the origins of the now uncovered historically significant forex inefficiencies.

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  • Forex Automaton Commentary   ( 75 Articles )

    Diversifying your news sources is just as important as diversifying your investments, but decoupling from the mainstream while getting quality news is harder than shorting a popular currency.

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