January 2015 Forex Correlation and Inefficiency Report |
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Here is the January 2015 update of the ForexAutomaton correlation analysis report, with its distinctive emphasis on time-lag dependence of auto-correlations and intermarket correlations.The report follows structure and definitions explained in a separate document, which can be used as a user manual.The report deals with the following exchange rate time series: AUDJPY, AUDUSD, CHFJPY, EURAUD, EURCHF, EURGBP, EURJPY, EURUSD, GBPCHF, GBPJPY, GBPUSD, USDCAD, USDCHF, USDJPY.
Forex autocorrelations for January 2015
Fig.1.Hour-scale autocorrelations of logarithmic returns during the month of January 2015 for the 14 leading FX time series.Note that autocorrelations are symmetric by definition. Forex hour-scale zero-lag intermarket correlation heatmap for January 2015
Fig.2.The zero-lag correlation heatmap is a 2D arrangement of Pearson correlation coefficients such that any bin in thei-th row and j-th column contains the correlation coefficient between time series i and time series j, with numbersassigned in the following order: 1 -- AUDJPY, 2 -- AUDUSD, 3 -- CHFJPY, 4 -- EURAUD, 5 -- EURCHF, 6 -- EURGBP, 7 -- EURJPY, 8 -- EURUSD, 9 -- GBPCHF, 10 -- GBPJPY, 11 -- GBPUSD, 12 -- USDCAD, 13 -- USDCHF, 14 -- USDJPY.The informative part of the picture is intermarket correlations,found away from the main diagonal in the plot.The coefficients on the main diagonal all equal 1 by construction, since they represent zero-lag correlation of the time series with itself,normalized to be 1. Forex hour-scale unit-lag intermarket predictability heatmap for January 2015
Fig.3.The unit-lag correlation heatmap is a 2D arrangement of Pearson correlation coefficients such that any bin in thei-th row and j-th column contains the correlation coefficient between time series i and time series j, with numbersassigned in the following order: 1 -- AUDJPY, 2 -- AUDUSD, 3 -- CHFJPY, 4 -- EURAUD, 5 -- EURCHF, 6 -- EURGBP, 7 -- EURJPY, 8 -- EURUSD, 9 -- GBPCHF, 10 -- GBPJPY, 11 -- GBPUSD, 12 -- USDCAD, 13 -- USDCHF, 14 -- USDJPY. Forex hour-scale intermarket correlation functions for January 2015The following subsections provide plots showing the hour-scale correlation functions in the vicinity of zero lag.             
Fig.4.1Hour-scale inter-market correlations of logarithmic returns during the month of January 2015 between AUD/JPY and 13 other leading FX time series.            
Fig.4.2Hour-scale inter-market correlations of logarithmic returns during the month of January 2015 between AUD/USD and 13 other leading FX time series.           
Fig.4.3Hour-scale inter-market correlations of logarithmic returns during the month of January 2015 between CHF/JPY and 13 other leading FX time series.          
Fig.4.4Hour-scale inter-market correlations of logarithmic returns during the month of January 2015 between EUR/AUD and 13 other leading FX time series.         
Fig.4.5Hour-scale inter-market correlations of logarithmic returns during the month of January 2015 between EUR/CHF and 13 other leading FX time series.        
Fig.4.6Hour-scale inter-market correlations of logarithmic returns during the month of January 2015 between EUR/GBP and 13 other leading FX time series.       
Fig.4.7Hour-scale inter-market correlations of logarithmic returns during the month of January 2015 between EUR/JPY and 13 other leading FX time series.      
Fig.4.8Hour-scale inter-market correlations of logarithmic returns during the month of January 2015 between EUR/USD and 13 other leading FX time series.     
Fig.4.9Hour-scale inter-market correlations of logarithmic returns during the month of January 2015 between GBP/CHF and 13 other leading FX time series.    
Fig.4.10Hour-scale inter-market correlations of logarithmic returns during the month of January 2015 between GBP/JPY and 13 other leading FX time series.   
Fig.4.11Hour-scale inter-market correlations of logarithmic returns during the month of January 2015 between GBP/JPY and 13 other leading FX time series.  
Fig.4.12Hour-scale inter-market correlations of logarithmic returns during the month of January 2015 between USD/CAD and 13 other leading FX time series. 
Fig.4.13Hour-scale inter-market correlations of logarithmic returns during the month of January 2015 between USD/CHF and 13 other leading FX time series.
Fig.4.14Hour-scale inter-market correlations of logarithmic returns during the month of January 2015 between USD/JPY and 13 other leading FX time series. Bookmark with:
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