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CHF/JPY and GBP/JPY 2002-2008: (trivial) intermarket correlations
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Written by Forex Automaton   
Wednesday, 23 July 2008 12:54

Swiss Franc/Japanese Yen and Pound Sterling/Japanese Yen cross-rates share the quote currency and are correlated. The picture of the intermarket correlation over the time lag resembles that of the CHF/JPY and EUR/JPY, but the non-trivial features are weaker and we do not see predictive potential on the hour-by-hour time scale considered, from this pair of cross-rates.

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CHF/JPY and EUR/JPY 2002-2008: symmetric predictive cross-correlations
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Written by Forex Automaton   
Tuesday, 22 July 2008 13:31

Swiss Franc/Japanese Yen and Euro/Japanese Yen cross-rates share the quote currency and are strongly correlated. For time lags 3 to 5 hours, symmetric positive correlations can be in principle used to statistically predict either cross-rate on the basis of the other.

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CHF/JPY and EUR/CHF 2002-2008: (trivial) intermarket correlations
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Written by Forex Automaton   
Friday, 11 July 2008 13:58

Swiss Franc/Japanese Yen and Euro/Swiss Franc are negatively correlated currency pairs. For the period under study, the correlation is limited to the 1-hour wide 0 time-lag bin. Therefore this study does not reveal a stable pattern suitable for intermarket-correlation-based trading.

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CHF/JPY and EUR/AUD 2002-2008: leader-follower correlations
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Written by Forex Automaton   
Thursday, 10 July 2008 12:37

Swiss Franc/Japanese Yen and Euro/Australian Dollar are weakly positively correlated currency pairs. This pair of exchange rates shows a leader-follower relationship with CHF/JPY, a cross-rate of two carry-trade funding currencies being, surprisingly, the leader and EUR/AUD -- the follower.

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AUD/JPY and CHF/JPY 2002-2008: (trivial) intermarket correlations
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Written by Forex Automaton   
Wednesday, 09 July 2008 13:38

Australian Dollar/Japanese Yen and Swiss Franc/Japanese Yen are correlated currency pairs. For the period under study, the correlation is limited to the 1-hour wide 0 time-lag bin. Therefore this study does not reveal a stable pattern suitable for intermarket-correlation-based trading.

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AUD/JPY and USD/JPY 2002-2008: intermarket correlations
Written by Forex Automaton   
Tuesday, 08 July 2008 14:40

Australian Dollar/Japanese Yen and US Dollar/Japanese Yen are positively correlated currency pairs. The non-zero time lag features of the correlation function seen in this currency pair combination appear to be only marginally significant with the hour-by-hour time scale.

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AUD/JPY and EUR/AUD 2002-2008: "contrarian" intermarket correlations
Written by Forex Automaton   
Monday, 07 July 2008 16:49

Australian Dollar/Japanese Yen and Euro/ Australian Dollar are negatively correlated currency pairs. In all trading sessions, the correlation function has a peculiar symmetric "contrarian" shape, meaning that while AUD/JPY and EUR/AUD move in predictably opposite directions on the time scale of up to one hour, sometimes it pays to be a "contrarian" and bet on the relationship to be reversed with a time lag 0 to 2 hours. The reason for this is not clear. Same thing has been seen in the correlations between AUD/USD and EUR/AUD.

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AUD/JPY and GBP/JPY 2002-2008: (trivial) intermarket correlations
Written by Forex Automaton   
Friday, 04 July 2008 13:22

Australian Dollar/Japanese Yen and Pound Sterling/Japanese Yen are correlated currency pairs. For the period under study, the correlation is limited to the 1-hour wide 0 time-lag bin. Therefore this study does not reveal a stable pattern suitable for intermarket-correlation trading.

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AUD/JPY and EUR/JPY 2002-2008: (trivial) intermarket correlations
Written by Forex Automaton   
Thursday, 03 July 2008 13:59

Australian Dollar/Japanese Yen and Euro/Japanese Yen are correlated currency pairs. For the period under study, the correlation is limited to the 1-hour wide 0 time-lag bin.

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AUD/JPY and GBP/USD 2002-2008: leader-follower correlations
Written by Forex Automaton   
Wednesday, 02 July 2008 16:14

The time-lag analysis of cross-correlation between Australian Dollar/Japanese Yen and Pound Sterling/US Dollar shows that these exchange rates have a leader-follower relation, with Aussie being the leader and GBP/USD the follower.

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AUD/JPY and USD/CAD 2002-2008: intermarket correlations
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Written by Forex Automaton   
Tuesday, 01 July 2008 16:31

The time-lag analysis of cross-correlation between Australian Dollar/Japanese Yen and US Dollar/Canadian Dollar shows that these exchange rates have a leader-follower relation, with Aussie being the leader and CAD/USD (not USD/CAD!) the follower.

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