April 2005 Correlation Report |
| Tuesday, 21 February 2012 10:08 | |||||||
|
Page 1 of 15 This monthly forex correlation analysis report is computer-generated. 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 April 2005 Fig.1. Hour-scale autocorrelations of logarithmic returns during the month of April 2005 for the 14 leading FX time series. Note that autocorrelations are symmetric by definition. Forex hour-scale zero-lag intermarket correlation fingerprint for April 2005 Fig.2. The zero-lag correlation fingerprint is a 2D arrangement of Pearson correlation coefficients such that any bin in the i-th row and j-th column contains the correlation coefficient between time series i and time series j, with numbers assigned 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 fingerprint for April 2005 Fig.3. The unit-lag correlation fingerprint is a 2D arrangement of Pearson correlation coefficients such that any bin in the i-th row and j-th column contains the correlation coefficient between time series i and time series j, with numbers assigned 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 April 2005The following subsections provide plots showing the hour-scale correlation functions in the vicinity of zero lag. |
|||||||
| Last Updated ( Friday, 16 November 2012 11:24 ) | |||||||
