Discussion in 'Forex' started by virgin, Oct 7, 2003.

  1. virgin


    What is the statistical correlation

    between EUR/USSD and USD/CHF ?

    An estimation number would be

    sufficient .
  2. The correlation between these two is very high. Just about the only times that this breaks down somewhat is during times of international tension (like a war). When fear rises there will be safe haven flows into the swissy and then it will flow out as the tension eases. Also you can get a short term move in one and not the other in response to an interest rate change.
  3. virgin


    What number would you put on this ?
  4. I'm a discretionary trader and not a statistical systems type of guy. If I remember my stats correctly and 0 = uncorrelated and 1 = a mirror image I would say that it averages a .9
  5. virgin


    Your statistics are correct.

    Thanks !
  6. sle


    Correlation ranges from -1 to 1, with 0 being uncorrelated, 1 is doing the same, -1 doing exactly opposite. Nice to remember that correlation is normalized by volatility of both assets - that is, if two assets are perfectly correlated, does not mean they would both move the same amount, but rather move by the same fractional amount scaled by volatility.
  7. Thanks sle,
    I was thinking percentages and not amounts.

    I think it's .9 on average. Right now is not one of the times that they are less correlated so if your using the figure for something that involves short term trades during the current time period maybe use .95

    Hope this helps. :)
  8. Is there a www site where I can check the statistical correlation of diffrent pairs?
  9. ntfs


  10. virgin


    I don't see any currency pairs in that

    #10     Oct 7, 2003