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July 2016 Forex Correlation and Inefficiency Report

Here is the July 2016 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.

Table 1. Forex Automaton Index updates for July 2016. CERPI -- Currency Exchange Rate Predictability Index,CERCSI -- Currency Exchange Rate Correlation Strength Index.

volatility 1H.1MCERCSI 1H.1MCERPI 1H.1M
0.001535950.3506020.0328066


This post first appeared on Forex Automaton. Original Quantitative Research On, please read the originial post: here

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July 2016 Forex Correlation and Inefficiency Report

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