# EUR/JPY 2002-2008: Predictability Overview

With the basic two-point correlation approach to the Euro/Japanese Yen currency pair we see the asymmetry between the bullish and bearish trends reflecting the interest rate differential, like in most other currency pairs, and the 24-hour oscillation of activity.

The interest rate differential has been in favor of the Euro.

### The basic autocorrelation

As usual we apply autocorrelation analysis as a straightforward, inter-disciplinary, non-proprietary technique to test market efficiency in the EUR/JPY market. In Fig.1 we look for features on the time scale of up to a hundred hours such as to suit the time scale of day trading or swing trading. The hatched red band shows the range of statistical noise (namely its expectation plus minus its RMS deviation). Statistical noise was obtained by simulating 20 independent time series of the length corresponding to that of the EUR/JPY series, each one constructed to reproduce the measured distribution of returns for the time period under study, but completely devoid of correlations ( martingale time series ). From these, the expectation and RMS or the autocorrelation amplitude in each time lag bin were calculated. Against this background, we see no reliable correlation signals in the all time-zone integrated autocorrelation.