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EurAnalysis Kindergarten 24 replies

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EurAnalysis

  • #63,541
  • Dec 16, 2012 8:53pm Dec 16, 2012 8:53pm
Quoting redteamgo
4 pips? your estimate is invalidated!
I saw this earlier at the FF
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Stocktwit: LuisCarlos - twitter: @lcparodi
  • #63,542
  • Dec 16, 2012 9:13pm Dec 16, 2012 9:13pm
Quoting ingmarforex
Not so sure 1 balance sheet is decreasing on 1 side of the ocean while the other 1 is increasing. print a trilion a year deposit a trilion a year (macro) imo not so good for usd. Everybody printing Boj verry dovish now the uk new governer carney http://www.ctvnews.ca/canada/mark-ca...rnor-1.1053945 talks about nominal gdp targeting so the world floats with money printing and who is the leftover the euro now if thats the winner wouldnt that be fun. So it is all how you interpret it imo a liquidity driven bull...
the great depression was a great mess because aggregate demand fell coupled with increasing interest rates to keep treasuries from depleting gold back currencies.

a GDP contraction coupled with money supply contraction .....this is empirically shown in studies done on the great depression read Bernanke's book on "essays on the great depression".
I actually think that what is keeping things from spiraling down into deflation, contraction, and higher unemployment is the FED's actions.
things could have been much, much , much worse.

the debt is a problem but I actually think that doom and gloom scenario is less likely than people think.
AVT INVENIAM VIAM AVT FACIAM
  • #63,543
  • Dec 16, 2012 9:18pm Dec 16, 2012 9:18pm
Quoting the redlion
the great depression was a great mess because aggregate demand fell coupled with increasing interest rates to keep treasuries from depleting gold back currencies.

a GDP contraction coupled with money supply contraction .....this is empirically shown in studies done on the great depression read Bernanke's book on "essays on the great depression".
I actually think that what is keeping things from spiraling down into deflation, contraction, and higher unemployment is the FED's actions.
things could have been much, much , much worse.

the debt is...
lol, you have come around
Kill the ego, or it will kill the mission.
  • #63,544
  • Dec 16, 2012 9:39pm Dec 16, 2012 9:39pm
Quoting AaronWard
lol, you have come around
I was ignorant in economics and sounded ignorant then.....you were right my friend i accept my mistakes
AVT INVENIAM VIAM AVT FACIAM
  • #63,545
  • Dec 17, 2012 12:01am Dec 17, 2012 12:01am
Quoting lumesh
Scaary ass volatility in eur and pound, could easily explode further up. Dunno whats happening
Learn to read inter-market movements.. Otherwise, it will be like fighting well-armed Forex robbers in the dark with a funny handbag..



http://i735.photobucket.com/albums/w...y-old-lady.jpg
  • #63,546
  • Dec 17, 2012 12:19am Dec 17, 2012 12:19am
for Intermarket analysis what I like to do is do linear regression of returns using the Euro/Usd as the benchmark for the following reasons

1- I am far more familiar trading the euro than other pairs

2- the Euro and the USD take the lion's share of daily liquidity

3- the USDX is composed of >50% weight on euro

Attached Image (click to enlarge)
Click to Enlarge Name: gbp~eur.jpg Size: 68 KB


lm(formula = gbp.returns ~ eur.returns)

Coefficients:
(Intercept) eur.returns
7.985e-05 5.420e-01

.5420*.01+.00007985

0.00549985

what this means is that for every 1% positive return in the euro you would expect a .55% in the GBP

.5420*-.01+.00007985
-0.00534015

conversely for every -1% return the expected return would be -.534%

assuming a linear model of course the standard deviations have to be taken in to consideration

the correlation coefficient is .75

the gbp volatility / eur volatility is .7237


(1000 data samples used from jan 2009 to last friday 12/14/2012)
AVT INVENIAM VIAM AVT FACIAM
  • #63,547
  • Dec 17, 2012 12:27am Dec 17, 2012 12:27am
if you are trading in dollars you have to convert your position to dollar

exchange rate * position size for positive correlated currencies and position size/exchange rate for negative correlated currencies. this is to find position size converted to dollar (not pip value)

for gbp with a standard lot (1.6183*100000)*.00549985

890.0407 this would be your exposure for every 1% movement in the euro which through linear regression we established it was approx .55%

this would be your risk in the euro (1.3154*100000)*.01

1315.4 for 1% movement.
AVT INVENIAM VIAM AVT FACIAM
  • #63,548
  • Dec 17, 2012 12:31am Dec 17, 2012 12:31am
Quoting the redlion
if you are trading in dollars you have to convert your position to dollar

exchange rate * position size for positive correlated currencies and position size/exchange rate for negative correlated currencies. this is to find position size converted to dollar (not pip value)

for gbp with a standard lot (1.6183*100000)*.00549985

890.0407 this would be your exposure for every 1% movement in the euro which through linear regression we established it was approx .55%

this would be your risk in the euro (1.3154*100000)*.01

1315.4...
My brain imploded.
Godness am I happy my fx platform tells me the value of my position.
Your previous post intrigues me though. Did you develop some formula that correlates currency values using usd index?
  • #63,549
  • Dec 17, 2012 12:40am Dec 17, 2012 12:40am
Quoting D2tz
My brain imploded.
Godness am I happy my fx platform tells me the value of my position.
Your previous post intrigues me though. Did you develop some formula that correlates currency values using usd index?
no, it's simply a linear regression of the returns of the Pound on the Y axis and the return of the Euro on the X axis.

all i do is simple linear extrapolation (prediction through a linear model) to calculate my risk when diversifying into different currencies, or hedging (given the swap is in my favor).

what I posted were detail calculations to show that the pound returns 1/2 of what the euro returns and the volatility of these returns is 72% of that of the euro, the correlation is very high among these two currencies.

then i calculated the % returns to dollar amount.
AVT INVENIAM VIAM AVT FACIAM
  • #63,550
  • Dec 17, 2012 1:04am Dec 17, 2012 1:04am
Quoting msood
Daily s-range 17/12/12

1.3178 (exceeded)
1.3145
daily s-range met.
  • #63,551
  • Dec 17, 2012 1:15am Dec 17, 2012 1:15am
Inserted Video
!
Those who say it cannot be done should not interrupt those who are doing it
  • #63,552
  • Edited 1:29am Dec 17, 2012 1:17am | Edited 1:29am
who knows why there is no volatility at the basic rates? some times have to reload MT thinking i lost internet connection - imo looks like a pre-last-bullish mood on EU
  • #63,553
  • Dec 17, 2012 2:22am Dec 17, 2012 2:22am
Quoting cdndollar
Learn to read inter-market movements.. Otherwise, it will be like fighting well-armed Forex robbers in the dark with a funny handbag..
Dunno what's happening regarding volatility was my problem. Smith that the inter market analysis won't have an answer to. I have used IM analysis in the past and have learnt there's no real edge in it. I guess to each his own.
  • #63,554
  • Dec 17, 2012 3:03am Dec 17, 2012 3:03am
It's a slow news day today in European session and since we're only 1 week away from the festive season, it's time for me to get out and do some shopping.

So, I'm outta here till NY session.

Later.
Those who say it cannot be done should not interrupt those who are doing it
  • #63,555
  • Dec 17, 2012 3:49am Dec 17, 2012 3:49am
Italian Trade Balance
Actual 2.45BForecast 0.25BPrevious 0.41B

Near 900% difference between the forecast and the actual!?
  • #63,556
  • Dec 17, 2012 4:10am Dec 17, 2012 4:10am
Quoting msood
Italian Trade Balance
Actual 2.45B Forecast 0.25B Previous 0.41B

Near 900% difference between the forecast and the actual!?
LOL.
  • #63,557
  • Dec 17, 2012 4:21am Dec 17, 2012 4:21am
Quoting rekon67
LOL.
I guess, couple billion here, couple b there...:-)
  • #63,558
  • Dec 17, 2012 5:00am Dec 17, 2012 5:00am
1.32 or 1.31?
  • #63,559
  • Dec 17, 2012 5:06am Dec 17, 2012 5:06am
You guys are buying?
  • #63,560
  • Dec 17, 2012 5:08am Dec 17, 2012 5:08am
Hi guys.

I am just passing by again. As I told you, I am waiting till dust settles. But, since I have to pay my rent and so, I have decided to fulfill my childhood dream and am staying whole winter in mountains, teaching snowboarding . Ofc I am taking my computer there and will be working on my analysis. So although I wont be trading, I should be posting analysis. (yea, should, it may very well end up like 2 months of nonstop drinking).

So, since you are like my second family here, I encourage you to visit me there. I can either teach you, or we can just ride and have fun. Ofc I will take care of accomodation and stuff. Just PM me. I will be leaving Prague on 25th of December and am coming back on last of February.

Take care,

Tom
"I know one thing, that I know nothing." Sokrates
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