Why is the normal distribution not normal? - page 17
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liquidity is defined by the relative spread
With the franc, the spread (average for market makers) is less than with the pound or the yen.
Purely technically yes, but in terms of volume that can be bought or sold.
The instrument does not trade much and its volatility is low (because of the link to the eur you noted). Therefore, in terms of liquidity, it is more correct to look at the spread relative to the instrument's volatility. It is so low that the spread is significant for it. In short, it is not very important. The main thing is that it is not properly traded in some periods of time and the rate is generated by the market maker or brokerage company (it is in fact MM for its clients).
It seems to be more of a liquidity-dependent spread
I didn't say who depends on what
>> I didn't say anything about who depends on what.
>> I didn't understand the context.)
Do you think this is a chart of a liquid instrument?
And the trading volumes of this cross can be seen where they are given (on Oanda for example). They are not comparable to the volumes of major currencies or Yen crosses. And the spreads on them are big at night on the market. There may be different reasons for the instrument being illiquid.
EURCHF has sufficient volume to trade in tens of lots at any time of day. And it is possible to analyse and trade crosses in a somewhat alternative way. But if you are dealing with real prices (not DCs), crosses are generally more profitable than synthetics.
Technically, yes, but in terms of the volume that can be bought and sold.
The instrument is little traded and its volatility is low (because of the link to the eu you mentioned). Therefore, in terms of liquidity, it is more correct to look at the spread relative to the instrument's volatility. It is so low that the spread is significant for it. In short, it is not very important. The main thing is that it is not properly traded in some periods of time and the rate is generated by a market maker or broker (it is in fact a MM for its clients)
Interbank spreads for crosses give a more accurate estimate since the true liquidity comes from the currency itself and not from a pair.
volatility is a potential return
liquidity is flies, volatility is cutlets
I would be surprised to say that oil is low liquidity
How do you consider the correlation of time series?
As the tangent of the slope of the straight line drawn by the ISC through the data cloud, plotted in the coordinates where the index increments (RRR) are plotted on the TF of interest.
Perhaps you should change the methodology for calculating the correlation or currency indices, because the table you provided does not correctly show the correlation between some currencies. I will not name the currencies.
getch wrote >>
I have presented correlations of indices, not currencies.
The pairwise correlation coefficient depends on the TF on which it is based. Therefore, it is incorrect to compare it with another one without specifying the TF it is estimated for. The method of calculation of PC is presented in the book on BP statistical processing (I can give the link if necessary). The formula was checked for lousiness.
Here we also need to keep in mind the non-stationarity of market processes, so the QC matrix will depend on which section of historical data it was built on. I have data for the second half of last year. I think this is the main reason for the QC discrepancy you noted.
I have presented correlations of indices, not currencies.
The pairwise correlation coefficient depends on the TF on which it is based. Therefore, it is incorrect to compare it with another one without specifying the TF it is estimated for. The method of calculation of PC is presented in the book on BP statistical processing (I can give the link if needed). The formula has been checked to be sure it is correct.
You also have to remember the non-stationarity of market processes, so the QC matrix will depend on which area of historical data it was built on. I have data for the second half of last year. I think the main reason for the QC discrepancy you noticed is this.
Honestly, I do not use mathematical methods of analysis. Because they are more academic than practical. I use my bikes on the level of primary school mathematics. But, strangely enough, relatively successfully.
It would be interesting to hear the practical side of academic considerations.