AUD/JPY and EUR/USD leader-follower history

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Written by Forex Automaton   
Wednesday, 03 December 2008 10:27
Article Index
AUD/JPY and EUR/USD leader-follower history
Correlation of AUD/JPY and EUR/USD
Time history of EUR/USD, AUD/JPY volatilities and correlation
History of LIBOR interest rate differentials. Conclusion.
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This is a follow-up report on the predictive feature discovered in the correlation of AUD/JPY and EUR/USD. To those who are new to this site: the blog focuses on applying quantitative analysis to forex in search for significant patterns which can be utilized for trading short range, the minimal time scale being one hour.

The feature in question was found not to exist in the Asia-Pacific trading, therefore in this report I cover the trading hours from 4am to 8pm New York time, which excludes Asia. I extend the period of observation up to the fourth quarter of 2008 and analyze the time stability of the delayed correlations between AUD/JPY and EUR/USD.

What the eye sees directly in the AUD/JPY and EUR/USD charts, Fig.1, is mostly the well known "instantaneous" correlation, devoid of predictive value as such, or perhaps delayed correlations of much longer time scale, not to be discussed here. The obscure predictive correlation, the main subject of this note, is too weak to be seen directly in the charts.

Historical bar chart of AUD/JPY since 2002, hour. Historical bar chart of EUR/USD since 2002, hour.

Fig.1:Historical bar charts of the data used in the analysis. Top: AUD/JPY, bottom: EUR/USD. Time scale is hour. Time axis is labeled in MM-YY format.



Last Updated ( Wednesday, 24 March 2010 16:54 )