For those who have (are) seriously engaged in co-movement analysis of financial instruments (> 2) - page 24

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There's a section in the description of the craft called "Analysis of the Recycle indicator reading", which gives a variance graph. There are two powerful spikes there:

In the diy, the variance characterises the level of correlation between all the FIs in question: the lower the variance, the higher the correlation. That is, the spikes are almost a complete breakdown of the correlation, which was quite strong. This is how it happened in 5 minutes:

You can see that all the correlation was concentrated between EURUSD and USDCHF. And after the mighty push, the doodle is frantically trying to find another correlation, but it's coming out shitty.

This is what the push looks like:

It happened at the opening of the US session on May 6, 2010. There was no news. No major, except for the USDCHF, shaky.

You could say it was a "long narrow flat on the crossover that broke out" if it weren't for two BUTs:

  1. The surge for the FOREX market (at least for 2010) was unprecedented. The overall level of correlation collapsed almost overnight - dispersion soared.
  2. And the surge was followed within hours by the famous Black Thursday or mysterious collapse on May 6, 2010.
 
hrenfx:
  1. The surge for the FOREX market (at least for 2010) was unprecedented. The overall level of correlations collapsed almost overnight - the variance soared.
  2. And the spike was followed within hours by the famous Black Thursday, or the mysterious collapse of May 6, 2010.

Using spectral analysis of the resulting indices and synthetic pairs, there is no mystery.



 

There were plenty of pictures. Whoever wants them will find them.

Whoever is not lazy, will repeat the experiment.

By the way, I don't see any pictures in this thread and don't swear :-))

 
genro:

I apologise for the flooding:

to Zhunko - once again I see your ...... on this forum, explain us fools reasonably (if possible with pictures!) about your super-duper spectral analysis, show trading results, because you are so mysterious, ........

Sorry to have caused such a reaction from you. A little persistence in your search and you will see everything.

 
I respectfully ask you not to overstep the lexical boundaries. Genro's post has been deleted. hrenfx, please correct a few words in your post.
 
Zhunko:

There were plenty of pictures. Whoever wants them will find them.

Whoever is lazy will repeat the experiment.

By the way, I don't see any pictures in this thread and don't swear :-))

Zhunko:

I'm sorry to have caused such a reaction from you. A little persistence in your search and you'll see.



Once again, you've been talking about spectral analysis and so on. Put up pictures, graphs, trading results for us fools.
 
genro:

Once again, the spectral analysis and so on are being blurted out. Put up pictures, graphs, trading results for us fools.
Did hrenfx post trading results?
 
sanyooooook:
has hrenfx posted trading results?
Not only do we have results, we also post signals. But not for everyone. Only for a select few.
 
Zhunko:
We don't just have results, but we put out signals. Just not for everyone. Only for a select few.


Well, go to your forums not for everyone, only for a select few.

How much do you sell "signals" for?

 
genro:


Well, go to your forums just not for everyone, just for a select few.

How much do you sell "signals" for?

Why such discrimination? The signals are free.
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