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The gif's for this will have to be sent in two parts, otherwise they do
not get through.
As I mentioned yesterday, thanks to feedback from other members (mostly
from Steve Poser), I became aware of that my Fx_Spx study was really
screwed up. So I went back to work armed with my new insight into the Fx
market and gave this another try.
I changed the data inputs from:
Dem_Usd, Dbp_Usd, Jpy_Usd, & Frf_Usd to Eur_Usd, Gbp_Usd, Jpy_Usd &
Hkd_Usd
I think this gives a broader picture of the Global Fx market versus the
S&P500
The biggest flaw in what I did was to "assume" (remember what Felix Unger
had to say about when you "assume") that all the Fx markets were leading
the S&P500 to some time length. I reworked my calculations to try to
determine what market is leading or lagging the other . I also limited
the time frame to 30 trading days, to make this more applicable to a
short term forecast. You will notice that the charts for the Eur and Gbp
are identical. This is not a mistake (this time!). It is partly due to
the transformation of the data that I use and mostly due to their almost
perfect correlation. I am still not quite sure why this is, or what is
its implication. The date axis on these charts will line up with the data
that is lagging.
The results are:
S&P500 is leading Eur_Usd by 24 days Correlation Coefficient .882
S&P500 is leading Gbp_Usd by 24 days Correlation Coefficient .882
Jpy_Usd is leading S&P 500 by 10 days Correlation Coefficient .596
S&P500 is leading Hkd_Usd by 24 days Correlation Coefficient .707
The Japanese market seems to be crucial to the outlook of the global Fx
markets and will probably have a great impact on what happens to our
equity markets.
Thanks for all the help
Ron McEwan
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