Monday, March 23, 2009

GBP/USD and USD/CHF 2004-2008: symmetric predictive correlation


he negative correlation peak of Pound Sterling/US Dollar and US Dollar/Swiss Franc, when studied with hour time scale resulution, looks symmetric and wider than one bin. Therefore, either exchange rate may have predictive influence on the other. Of course, this is a time-integrated picture and the time evolution may have more complex structure: the symmetric peak may be composed out of a number of asymmetric ones.

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