Hi guys,
I'm currently working in a Bank. There, we make money by buying call options on currencies, through the bid-ask spread minus interest we pay our clients.
Now, my boss wants me to find the correlation between the department's revenue (bid-ask spread minus interest) and the changes in currency.
I have data on everyday's "revenue" and the currency movements.
My question is, do I actually do week on week calculation or month on month changes? As the fluctuations daily may be large, the fluctuations over a month is actually rather minimal. Thus, to get a better picture, should I do it month on month to eliminate the "seasonal" factor each month or should i do week on week changes? Or should I actually do changes in respect to the first week of each month (e.g. For Jan, i will find difference between week 1 & 2 divided by week 1, and diff betwn week 3 & 1 and divided by week 1 etc, and do like wise for the following months?)
What will be a good method theoretically and practically so that I can explain to my boss?
Thank you.
I'm currently working in a Bank. There, we make money by buying call options on currencies, through the bid-ask spread minus interest we pay our clients.
Now, my boss wants me to find the correlation between the department's revenue (bid-ask spread minus interest) and the changes in currency.
I have data on everyday's "revenue" and the currency movements.
My question is, do I actually do week on week calculation or month on month changes? As the fluctuations daily may be large, the fluctuations over a month is actually rather minimal. Thus, to get a better picture, should I do it month on month to eliminate the "seasonal" factor each month or should i do week on week changes? Or should I actually do changes in respect to the first week of each month (e.g. For Jan, i will find difference between week 1 & 2 divided by week 1, and diff betwn week 3 & 1 and divided by week 1 etc, and do like wise for the following months?)
What will be a good method theoretically and practically so that I can explain to my boss?
Thank you.