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EUR/CHF and EUR/JPY 2002-2008: "trivial" intermarket correlations
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Written by Forex Automaton   
Tuesday, 12 August 2008 14:11

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

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EUR/AUD and USD/JPY 2002-2008: asymmetric "contrarian" correlations
Written by Forex Automaton   
Monday, 11 August 2008 14:50

On average for the period, Euro/Australian Dollar and US Dollar/Japanese Yen are negatively correlated. Time-lag dependence of the correlations has a complex asymmetric shape and the nature of the correlation seems to depend on the time-lag: even though at the zero time-lag bin (hour scale) the correlation is negative, a positive correlation with USD/JPY as a leader and EUR/AUD the follower is seen at 1-2 hour time-lag bins.

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EUR/AUD and USD/CAD 2002-2008: leader-follower correlations
Written by Forex Automaton   
Monday, 11 August 2008 08:06

Euro/Australian Dollar and US Dollar/Canadian Dollar show a leader-follower correlation which, on average for the period, is particularly pronounced in the Asia-Pacific trading session.

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EUR/AUD and GBP/USD 2002-2008: intermarket correlations
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Written by Forex Automaton   
Thursday, 07 August 2008 14:03

The pair of Euro/Australian Dollar and Pound Sterling/US Dollar exchange rates is one of those combinations whose correlation varies strongly among the trading session, being at the minimum during the Asia-Pacific trading session. With the hour time scale studied in this note, and talking of the European and American trading sessions, there is little predictive power in this cross-correlation as the confidently visible signal is limited to the 0-hour time lag. The Asia-Pacific session looks intriguing in that despite the overall very low 0-hour correlation, there are interesting signals with time lags.

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EUR/AUD and GBP/JPY 2002-2008: "trivial" intermarket correlations only
Written by Forex Automaton   
Wednesday, 06 August 2008 08:40

On average for the period, Euro/Australian Dollar and Pound Sterling/Japanese Yen are weakly negatively correlated. The correlation appears to be "trivially" limited to the 0-time-lag bin leaving little room for predicting one exchange rate on the basis of the other.

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EUR/AUD and EUR/JPY 2002-2008: leader-follower correlations
Written by Forex Automaton   
Thursday, 31 July 2008 14:33

On average for the period, Euro/Australian Dollar and Euro/Japanese Yen show a prominent predictive correlation with EUR/JPY being the leader and EUR/AUD the follower, despite the fact that the 0-hour lag correlation peak is fairly week for this pair of exchange rates. However what matters for prediction is not the amplitude of the 0-lag correlation (with respect to unit), but the amplitude of the non-zero lag signals with respect to martingale noise.

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EUR/AUD and EUR/CHF 2002-2008: asymmetric predictive correlations
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Written by Forex Automaton   
Wednesday, 30 July 2008 14:43

Euro/Australian Dollar and Euro/Swiss Franc exchange rates are weakly negatively correlated on average for the time period in 2002-2008 considered in this report. On the hour-by-hour time scale considered, indications of predictive correlations are marginal at best for the European session, but appear significant for the American session, contrary to what is usually the case.

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CHF/JPY and USD/JPY 2002-2008: (trivial) intermarket correlations
Written by Forex Automaton   
Tuesday, 29 July 2008 14:07

Swiss Franc/Japanese Yen and US Dollar/Japanese Yen are positively correlated in general but show no predictive cross-correlations on the hourly time scale analyized in this report.

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CHF/JPY and GBP/USD 2002-2008: asymmetric (leader-follower) correlation
Written by Forex Automaton   
Monday, 28 July 2008 14:45

Swiss Franc/Japanese Yen and Pound Sterling/US Dollar show a non-trivial time-lag dependency of cross-correlations. The correlation peak is wider than one hour, is positive and asymmetric indicating a tendency for CHF/JPY to lead and for GBP/USD to follow (on average over the time of observation) in the same direction with the lag of up to 2-3 hours. Overall, this correlation pattern is similar to the case of CHF/JPY and EUR/USD.

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CHF/JPY and EUR/USD 2002-2008: leader-follower correlation
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Written by Forex Automaton   
Friday, 25 July 2008 12:47

Swiss Franc/Japanese Yen and Euro/US Dollar show a complex picture of cross-correlations. The correlation peak is wider than one hour, is positive and asymmetric indicating a tendency for CHF/JPY to lead and for EUR/USD to follow in the same direction with the lag of up to a couple of hours. However, for larger time lags (12 to 24 hours), the data is in favor of negative correlation, although on the time scale considered (hourly), the noise competes with the signal at each individual time-lag bin in that range of lags.

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CHF/JPY and USD/CAD 2002-2008: intermarket correlations
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Written by Forex Automaton   
Thursday, 24 July 2008 11:56

Swiss Franc/Japanese Yen and US Dollar/Canadian Dollar exchange rates are weakly negatively correlated. Correlations away from the 0 time lag bin resemble the case of EUR/USD and USD/CAD, and marginally significant predictive correlations are seen.

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