Attachments: Forex Correlation Data

Forex Correlation Data

#1
First Post: Sep 1, 2006 3:35pm Sep 1, 2006 3:35pm

StockKJay
| Joined Jul 2006 | Status: useless, brainless, stalking troll | 738 Posts

Hey Folks,

I am posting this in the beginners section because I feel as though this is simple information to find. I just cant do it

. What I need is correlation data dating back to preferably 2004. FXCM has 1 year, only 6 currency pairs though. Other places have 100 days example: mataf.net. Though I cant find data going back two, three years. Even one year that covers more than just 6 pairs would be helpful. If there is anyone out there that could throw a URL or source at me I would appreciate it greatly. Seems like this info should be easier to find... have spent hours on search engines and cant find a thing.

The market is my nation. Traders, my family. Hello, brothers and sisters!

#2
Sep 1, 2006 3:46pm Sep 1, 2006 3:46pm

mrmikal
| Joined Mar 2006 | Status: Pip Samurai | 975 Posts

Quoting StockKJay

Disliked

Hey Folks,

I am posting this in the beginners section because I feel as though this is simple information to find. I just cant do it . What I need is correlation data dating back to preferably 2004. FXCM has 1 year, only 6 currency pairs though. Other places have 100 days example: mataf.net. Though I cant find data going back two, three years. Even one year that covers more than just 6 pairs would be helpful. If there is anyone out there that could throw a URL or source at me I would appreciate it greatly. Seems like this info should be easier to find... have spent hours on search engines and cant find a thing.

Ignored

Well, historical data is readily available...you could simply calculate the correlation values for whatever pairs you want using that data.

Beyond that suggestion, I'm not sure you will see freely available historical correlations.

I think the reason being is that correlation requires a beginning and ending date. Correlations not only change daily, but it is entirely possible that the correlation of the the month of August would be different from, say, the last week of July up to (but not including) the last week of August.

you can think of it like this...the more data points you have in your linear relation table, the less significant the next correlation will be...meaning the lesser impact the next added data point has on the effect of correlation.

Therefore, I suggest that you make your own database of currency pair data and create a program/spreadsheet or whatever that will calculate correlations between a start and end date. This is the only accurate way of determining correlations.

#3
Sep 1, 2006 4:17pm Sep 1, 2006 4:17pm

Bemac
Joined Jan 2006 | Status: Monarch o' the Glen | 5,561 Posts

Quoting StockKJay

Disliked

Hey Folks,

I am posting this in the beginners section because I feel as though this is simple information to find. I just cant do it . What I need is correlation data dating back to preferably 2004. FXCM has 1 year, only 6 currency pairs though. Other places have 100 days example: mataf.net. Though I cant find data going back two, three years. Even one year that covers more than just 6 pairs would be helpful. If there is anyone out there that could throw a URL or source at me I would appreciate it greatly. Seems like this info should be easier to find... have spent hours on search engines and cant find a thing.

Ignored

Not entirely what you asked for but it may get you closer.