Forex Correlation. Trading System R&D.

The US Dollar/Swiss Franc exchange rate has autocorrelation of a perfectly random time series, except for the daily pattern of variation in activity.

Euro/ Australian Dollar and Euro/ US Dollar are moderately correlated. Correlations with non-zero time lag are seen but they do not look easy to explain.

The correlation between Euro/ Swiss Franc and Euro/ US Dollar exchange rates offers a double surprise: first, it is negative. Second, the "anti-following" of EUR/CHF behind EUR/USD is unusually strong. In cases like that, one could suspect it's one or two extraordinary events that dominate the picture.

Australian Dollar / US Dollar and Euro/US Dollar exchange rate are correlated, with an interesting symmetric wave-like pattern extending for up to 100 hours time lag.

Euro/Japanese Yen and Euro/US Dollar are weekly correlated. A positive correlation tail with time lags up to 3 hours is seen indicating that EUR/USD tends to lag behind EUR/JPY. This means that EUR/JPY has a potential to forecast movements in EUR/USD.

Australian Dollar / Japanese Yen and Euro/ US Dollar are weekly correlated. A positive correlation tail with time lags up to 3 hours is seen indicating that EUR/USD tends to lag behind AUD/JPY.

The correlation patterns we see in one of the world's most volatile exchange rates, the New Zealand Dollar / US Dollar exchange rate, are very similar to those seen in AUD/JPY.

Euro / US Dollar and US Dollar/ Canadian Dollar present another example of symmetrically cross-anticorrelated currency pairs.

Euro/US Dollar and British Pound/ Yen do not seem to share any investment themes. Nevertheless these are correlated currency pairs, with a hint of a leader-follower relationship.

Euro /US Dollar and Pound Sterling/US Dollar are obviously correlated currency pairs. Due to the symmetry of the cross-correlation peak, a move in either pair can in principle be used to predict a move in the other: EUR/USD foretells GBP/USD and vice versa.