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AUD/JPY and EUR/CHF 2002-2008: leader-follower correlations
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Written by Forex Automaton   
Monday, 30 June 2008 16:57

Australian Dollar/Japanese Yen and Euro/Swiss Franc form a remarkable combination: both quote currencies are well known low interest carry-trade funding currencies. In addition, both pairs are, so to speak geographically localized: AUD/JPY in the Asia-Pacific and EUR/CHF in Europe. The intermarket correlation analysis shows that these cross-rates have a leader-follower relation, with Aussie being the leader.

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AUD/USD and AUD/JPY 2002-2008: intermarket correlations
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Written by Forex Automaton   
Friday, 27 June 2008 16:09

The Australian Dollar/Japanese Yen and Australian Dollar/US Dollar are positively correlated currency pairs. The correlation is a function of a time lag, with a surprising feature being the negative next-hour correlation. In the hour-by-hour data, a movement in AUD/USD may foretell an opposite direction next hour movement in AUD/JPY next hour and vice versa. This resembles the pattern seen in the correlation between AUD/USD and EUR/AUD, except for the sign of the correlation.

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AUD/USD and EUR/AUD 2002-2008: intermarket correlations
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Written by Forex Automaton   
Thursday, 26 June 2008 16:23

Australian Dollar/US Dollar and Euro/Australian Dollar are negatively correlated currency pairs. However the correlation is a function of a time lag. A surprising feature of the their correlation is the positive next-hour correlation. In the hour-by-hour data, a movement in AUD/USD may foretell a same direction next hour movement in EUR/AUD next hour and vice versa.

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AUD/USD and EUR/CHF 2002-2008: the least correlated combination?
Written by Forex Automaton   
Wednesday, 25 June 2008 15:27

Australian Dollar/US Dollar and Euro/Swiss Franc are extremely weakly correlated currency pairs. Unlike all other combinations of exchange rates looked at so far, this pair shows most correlation during the Asia-Pacific trading session. For the period under study, the correlation is limited to the 1-hour wide 0 time-lag bin and therefore offers little value to the forecaster. For the risk management and diversification, it is good to know that such an exceptionally low correlation exists in the high liquidity forex.

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AUD/USD and EUR/JPY 2002-2008: intermarket correlations
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Written by Forex Automaton   
Tuesday, 24 June 2008 13:30

Australian Dollar/US Dollar and Euro/Japanese Yen are weakly correlated currency pairs. For the period under study, the correlation is limited to the 1-hour wide 0 time-lag bin and therefore offers little forecasting value. In this regard, this currency pair combination resembles combinations of AUD/USD with GBP/JPY and CHF/JPY.

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AUD/USD and USD/CAD 2002-2008: intermarket correlations (leader-follower)
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Written by Forex Automaton   
Monday, 23 June 2008 16:11

Australian Dollar/US Dollar and US Dollar/Canadian Dollar are, of course, negatively correlated currency pairs. Based on the asymmetric shape of the correlation peak, it is safer to bet on AUD/USD leading and CAD/USD following, although it is possible that CAD/USD leads and AUD/USD follows.

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AUD/USD and CHF/JPY 2002-2008: intermarket correlations
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Written by Forex Automaton   
Friday, 20 June 2008 10:58

Australian Dollar/US Dollar and Swiss Franc/Japanese Yen are weakly correlated currency pairs. For the period under study, the correlation is limited to the 1-hour wide 0 time-lag bin and therefore offers little value to the forecaster. In this regard, this pair of exchange rates resembles AUD/USD and GBP/JPY.

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AUD/USD and GBP/USD 2002-2008: intermarket correlations (leader-follower)
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Written by Forex Automaton   
Thursday, 19 June 2008 15:50

Australian Dollar/US Dollar and Pound Sterling/US Dollar are symmetrically cross-correlated currency pairs.

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AUD/USD and USD/JPY 2002-2008: predictive intermarket correlations
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Written by Forex Automaton   
Wednesday, 18 June 2008 12:09

Australian Dollar/US Dollar and US Dollar/Japanese Yen exchange rate are weakly negatively correlated, with a comfortably broad and fairly symmetric deep (negative peak) in the correlation function, meaning that a price movement in either pair can trigger a price movement (of the opposite direction) in the other pair, with the effect lasting up to two hours.

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AUD/USD and GBP/JPY 2002-2008: intermarket correlations
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Written by Forex Automaton   
Wednesday, 18 June 2008 07:15

Australian Dollar/US Dollar and Pound Sterling/Japanese Yen are weakly correlated currency pairs. For the period under study, the correlation is limited to the 1-hour wide 0 time-lag bin and therefore offers little value to the forecaster.

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AUD/USD and NZD/USD 2005-2008: intermarket correlations (oscillating pattern)
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Written by Forex Automaton   
Monday, 16 June 2008 12:17

Australian Dollar/ US Dollar and New Zealand Dollar /US Dollar are strongly correlated currency pairs. Plotted over time lag, the correlation between them has a peculiar symmetric pattern which is easier to plot than describe (although we dared to do both).

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