Forex scalping: AUD/JPY under the microscope - Longer time scales

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Written by Forex Automaton   
Thursday, 26 March 2009 10:08
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Forex scalping: AUD/JPY under the microscope
Longer time scales
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Distribution of AUD/JPY logarithmic returns on 1 min scale Autocorrelation of AUD/JPY logarithmic returns on 1 min scale

Fig.2: Top: distribution of AUD/JPY logarithmic returns on 1 min scale. Bottom: autocorrelation of AUD/JPY logarithmic returns on 1 min scale. Simulation results are shown in red in both panels.

Moving to the minute scale, the pulser effect is no longer visible, but the "bipolar disorder" is even stronger than in Fig.1, being the only significant feature.

Distribution of AUD/JPY logarithmic returns on 10 min scale Autocorrelation of AUD/JPY logarithmic returns on 10 min scale

Fig.3: Top: distribution of AUD/JPY logarithmic returns on 10 minute scale. Bottom: autocorrelation of AUD/JPY logarithmic returns on 10s scale. Simulation results are shown in red in both panels.

Finally, on the 10 minute scale, the "bipolar disorder" effect is gone, and even though the autocorrelation looks a bit suspiciously oscillatory, this is by no means the scale of the predictability seen in Fig.1.

In summary, forex time scaling studies looks like a promising field of activity as yet almost untapped by Forex Automaton.

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