Intermarket analysis

Discussion in 'Educational Resources' started by duard, May 7, 2005.

  1. duard


    Can anyone recommend a good reference book or source for intermarket analysis. I am interested more in equities and their derivatives than currency and agricultural products. The intermarket research that I'm interested in can and would preferably reference these other products to equities though.

    e.g. Copper markets correlation to S & P 500.

    OEX to 500

    Interest rates short, intermediate and long to SIF.

    You get the idea.

    Maybe we can use this thread to delineate the type of intermarket analysis traders here are using and reference good works, papers, books, lectures, etc. about this type of analysis.

    Good Luck
  2. duard


    For instance oil has been inversely correlated to SIF for quite awhile now.

    If NASDAQ and OEX are outpacing the S & P 500 then returns for the year typically double.

    If interest rates are rising then equity returns are muted or negative. "Don't fight the fed."

    Any other correlations people are willing to share?
  3. range


    What is "SIF"?
  4. duard


    Stock Index Futures

    Sorry for the unknown acronym.
  5. there has been a high correlation between some of the XAU or HUI components and the
    POG + POS ( gold and silver price )

    I need to do some research on the HGX

    and real estate prices ....

  6. I'm writing a book about intermarket analysis, but probably it will take years until it's completed.

    Already now i would give you this advice: An uptrend (with growing volume) in the 90-minute chart of the sp500 is confirmed by an an uptrend in the six-hour chart of the US$, one-day chart of the T-Notes, one-week chart of the Eurodollar...
  7. DVB


    Victor Niederhoffer's both books have some information about intermarket analysis. He also had some "back-the-envelope"studies on his web site

    There is an idiotic book, called "Intermarket Analysis" by Murphy, please stay away from that one. Nothing but a bunch of superimposed charts and utter BS.

    Good luck,


  8. mmillar


    I think John Murphy is supposed to be the high priest of intermarket analysis.

    Intermarket Analysis by John Murphy.

    And he also writes for but you have to subscribe.
  9. Beyond the most obvious relationships (ie, gold and dollar index), I think you'd be hard pressed to find any intermarket correlation that sustains beyond a single cycle, hasn't already been priced in, and which also provides any element of forecasting.

    Assuming that what most are looking for in regards to an edge in intermarket analysis is some sort of divergence/non-confirmation signal, determining that an actionable causality exists between 2 somewhat correlated markets (as 1:1 correlations are pretty much useless) is difficult to say the least.