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GBP/USD and USD/CAD 2002-2008: leader-follower correlation
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Written by Forex Automaton   
Tuesday, 09 September 2008 14:02

The case of Pound Stering/US Dollar and US Dollar/Canadian Dollar presents another leader-follower relationship. Naturally, GBP/USD and USD/CAD generally move in the opposite directions (showing negative correlations), what tends to "follow" GBP/USD is CAD/USD.

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GBP/JPY and USD/JPY 2002-2008: "trivial" intermarket correlations
Written by Forex Automaton   
Monday, 08 September 2008 13:53

Pound Sterling/Japanese Yen and US Dollar/Japanese Yen obviously are positively correlated but on the hour time scale, on average for the period of study, the correlation looks too tight to be of value for forecasting movements in one exchange rate on the basis of the other with any accuracy.

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EUR/JPY and USD/JPY 2002-2008: "trivial" intermarket correlations
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Written by Forex Automaton   
Wednesday, 03 September 2008 11:53

Naturally, Euro/Japanese Yen and US Dollar/Japanse Yen are positively correlated. For the purpose of trading system building, correlations with non-zero time lags are essential. It is these correlations that are not seen in this pair of exchange rate with the hour-by-hour time scale, time-averaged analysis presented in this note.

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GBP/JPY and GBP/USD 2002-2008: intermarket correlations
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Written by Forex Automaton   
Tuesday, 02 September 2008 16:00

The case of Pound Sterling/Japanese Yen and Pound Stering/US Dollar shows some marginally significant predictability in the latter rate on the basis of the former. For some reason, the signal is only seen in the European trading session. A candidate for a deeper study.

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EUR/JPY and USD/CAD 2002-2008: intermarket correlations
Written by Forex Automaton   
Monday, 01 September 2008 14:48

Euro/Japanese Yen and US Dollar/Canadian Dollar is hard to classify as either "signal" or "no signal" on the basis of the time-averaged data alone -- we have certainly seen more convincing signals in these series of reviews. The predictive intermarket correlation signal seen on average in 2002-2008 is marginally significant and warrants further study of its evolution with time and LIBOR rates.

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EUR/JPY and GBP/USD 2002-2008: asymmetric leader-follower correlations
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Written by Forex Automaton   
Wednesday, 27 August 2008 15:05

Euro/Japanese Yen and Pound Stering/US Dollar are moderately positively correlated exchange rates. The significant correlation, while dying with the time lag, extends in time for as long as two hours, and on average for the period is asymmetric with EUR/JPY leading the trend and GBP/USD following.

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EUR/JPY and GBP/JPY 2002-2008: "trivial" intermarket correlations
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Written by Forex Automaton   
Tuesday, 26 August 2008 12:50

Euro/Japanese Yen and Pound Stering/Japanese Yen are strongly positively correlated but the correlation appears so tight in time that on the time scale considered (hour) there is no evidence of signals coming from one rate with potential for predicting the other, at least on average for the period.

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USD/JPY and EUR/CHF 2002-2008: leader-follower relationship
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Written by Forex Automaton   
Monday, 25 August 2008 15:03

The story of Euro/Swiss Franc and US Dollar/Japanese Yen exchange rates is similar to that of EUR/CHF and EUR/USD and EUR/CHF and GBP/USD: weak "instantaneous" correlations, robust predictive ones. We now have evidence for three different exchange rates that "trigger" EUR/CHF -- too bad EUR/CHF is one of the least volatile forex rates!

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EUR/CHF and USD/CAD 2002-2008: weak and "trivial" correlations
Written by Forex Automaton   
Wednesday, 20 August 2008 13:18

Euro/Swiss Franc and US Dollar/ Canadian Dollar are weakly positively correlated in the European trading session and very weakly positively correlated the rest of the time (the session dependence is considerable for some reason). Little predictability potential in either rate with respect to the other is revealed by this hour time scale study.

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EUR/CHF and GBP/USD 2002-2008: leader-follower correlations
Written by Forex Automaton   
Tuesday, 19 August 2008 13:48

Euro/Swiss Franc and Pound Stering/US Dollar are weakly negatively correlated. The weakness of the 0-hour time lag correlation does not prevent this pair of exchange rates from having one of the most convincing predictable patterns seen in this series of notes so far: it is the non-zero time lags that matter for forecasting and trading system development.

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EUR/CHF and GBP/JPY 2002-2008: "trivial" intermarket correlations
Written by Forex Automaton   
Monday, 18 August 2008 11:52

On average for the period, Euro/Swiss Franc and Pound Stering/Japanese Yen are weakly positively correlated. No predictive correlations are detected in this particular pair of forex cross-rates on the hour time scale studied in this note.

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