market correlations. forts derivative market diagnostics and monthly fx forecast
TRANSCRIPT
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8/14/2019 Market Correlations. FORTS Derivative Market Diagnostics and Monthly FX Forecast
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R2
R2 R2
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CSI
CBPI
CBPI
R2
R2
CSI
CSI
CSI
CSI
CSI
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R2 R2
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date
09.08 04.09 12.09 07.10 03.11 10.11 06.12 01.13 09.13 04.14
FORTSVo
latility
0.002
0.003
0.004
0.005
0.006
QE1 QE2 QE3
Flas
hCras
h
S&PDowngra
d
e
date
09.08 04.09 12.09 07.10 03.11 10.11 06.12 01.13 09.13 04.14
FORTSCSI
0.25
0.3
0.35
0.4
0.45
0.5
date
09.08 04.09 12.09 07.10 03.11 10.11 06.12 01.13 09.13 04.14
F
ORTSCBPI
0.03
0.04
0.05
0.06
0.07
0.08
0.09
0.1
FORTS CBPI
FORTS CBPI zero benchmark
date
09.08 04.09 12.09 07.10 03.11 10.11 06.12 01.13 09.13 04.14
FORTSR
_2
0
0.05
0.1
0.15
0.2
0.25
0.3
0.35
Maraging Partners
R2
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CSI
CSI
CBPI
CBPI
R2 R2
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R2
R2
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time series 1
1 2 3 4 5
meseres
1
2
3
4
5
-0.4
-0.2
0
0.2
0.4
0.6
0.8
1
a) lag 0
time series 1
1 2 3 4 5
timeseries2
1
2
3
4
5
-0.06
-0.04
-0.02
0
0.02
0.04
0.06
0.08
b) lag 1
Maraging Partners
i
j
i
j
i
j
td = ti tj = 1
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date
08.08 04.09 11.09 07.10 02.11 10.11 05.12 01.13 08.13 04.14
Bren
t,RTS0lagcorrela
tion
0
0.2
0.4
0.6
0.8
date08.08 04.09 11.09 07.10 02.11 10.11 05.12 01.13 08.13 04.14
EUR/USD
,RTS0lagcorre
lation
0
0.2
0.4
0.6
0.8
date08.08 04.09 11.09 07.10 02.11 10.11 05.12 01.13 08.13 04.14
EUR/USD
,Bren
t0lagcorre
lation
0
0.2
0.4
0.6
0.8
date
08.08 04.09 11.09 07.10 02.11 10.11 05.12 01.13 08.13 04.14
EUR/RUB
,RTS0lagcorre
lation
-0.6
-0.4
-0.2
0
0.2
0.4
.
date08.08 04.09 11.09 07.10 02.11 10.11 05.12 01.13 08.13 04.14
EUR
/RUB
,Bren
t0lagcorre
lation
-0.5
-0.4
-0.3
-0.2
-0.1
0
0.1
0.2
0.3
0.4
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date
08.08 04.09 11.09 07.10 02.11 10.11 05.12 01.13 08.13 04.14
EUR/RUB
,EUR/USD0lagco
rre
lation
0
0.2
0.4
0.6
0.8
date08.08 04.09 11.09 07.10 02.11 10.11 05.12 01.13 08.13 04.14
USD/RUB
,RTS0lagcorre
lation
-0.9
-0.8
-0.7
-0.6
-0.5
-0.4
-0.3
-0.2
date08.08 04.09 11.09 07.10 02.11 10.11 05.12 01.13 08.13 04.14
USD/RUB
,Bren
t0lagcorre
lation
-0.8
-0.6
-0.4
-0.2
0
date
08.08 04.09 11.09 07.10 02.11 10.11 05.12 01.13 08.13 04.14USD/RUB
,EUR/USD0lagco
rre
latio
-1.2
-1
-0.8
-0.6
-0.4
-0.2
date08.08 04.09 11.09 07.10 02.11 10.11 05.12 01.13 08.13 04.14
EUR/R
UB
,USD/RUB0lagcorre
latio
-0.6
-0.4
-0.2
0
0.2
0.4
0.6
0.8
1
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CSI
CBPI
CBPI
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date
08.08 04.09 11.09 07.10 02.11 10.11 05.12 01.13 08.13 04.14
Bren
t,RTS1lagcorre
lation
-0.2
-0.1
0
0.1
0.2
date08.08 04.09 11.09 07.10 02.11 10.11 05.12 01.13 08.13 04.14
EUR/USD
,RTS1lagcorre
lation
-0.2
-0.1
0
0.1
0.2
0.3
date08.08 04.09 11.09 07.10 02.11 10.11 05.12 01.13 08.13 04.14
EUR/USD
,Bren
t1lagcorre
lation
-0.3
-0.2
-0.1
0
0.1
0.2
date
08.08 04.09 11.09 07.10 02.11 10.11 05.12 01.13 08.13 04.14
EUR/RUB
,RTS1lagco
rre
lation
-0.3
-0.2
-0.1
0
0.1
date08.08 04.09 11.09 07.10 02.11 10.11 05.12 01.13 08.13 04.14
E
UR/RUB
,Bren
t1lagcorre
lation
-0.4
-0.3
-0.2
-0.1
0
0.1
.
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date
08.08 04.09 11.09 07.10 02.11 10.11 05.12 01.13 08.13 04.14
EUR/RUB
,EUR/USD1lag
corre
lation
-0.25
-0.2
-0.15
-0.1
-0.05
0
0.05
0.1
0.15
0.2
date08.08 04.09 11.09 07.10 02.11 10.11 05.12 01.13 08.13 04.14
USD/RUB
,RTS1lagcorre
lation
-0.3
-0.25
-0.2
-0.15
-0.1
-0.05
0
0.05
0.1
0.15
date08.08 04.09 11.09 07.10 02.11 10.11 05.12 01.13 08.13 04.14
USD/RUB
,Bren
t1lagcorre
lation
-0.2
-0.1
0
0.1
0.2
date
08.08 04.09 11.09 07.10 02.11 10.11 05.12 01.13 08.13 04.14USD/RUB
,EUR/USD1lag
corre
latio
-0.25
-0.2
-0.15
-0.1
-0.05
0
0.05
0.1
0.15
date08.08 04.09 11.09 07.10 02.11 10.11 05.12 01.13 08.13 04.14
EU
R/RUB
,USD/RUB1lagcorre
latio
-0.2
-0.15
-0.1
-0.05
0
0.05
0.1
0.15
0.2
0.25
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date
08.08 04.09 11.09 07.10 02.11 10.11 05.12 01.13 08.13 04.14
Bren
t,RTS-1
lagcorre
lation
-0.2
-0.1
0
0.1
0.2
0.3
date08.08 04.09 11.09 07.10 02.11 10.11 05.12 01.13 08.13 04.14
E
UR/USD
,RTS-1
lagcorre
lation
-0.3
-0.2
-0.1
0
0.1
0.2
date08.08 04.09 11.09 07.10 02.11 10.11 05.12 01.13 08.13 04.14
EUR/USD
,Bren
t-1
lagcorre
lation
-0.2
-0.1
0
0.1
0.2
0.3
date
08.08 04.09 11.09 07.10 02.11 10.11 05.12 01.13 08.13 04.14
EUR/RUB
,RTS-1
lagco
rre
lation
-0.2
-0.15
-0.1
-0.05
0
0.05
0.1
0.15
0.2
.
date08.08 04.09 11.09 07.10 02.11 10.11 05.12 01.13 08.13 04.14
E
UR/RUB
,Bren
t-1
lagcorre
lation
-0.2
-0.15
-0.1
-0.05
0
0.05
0.1
0.15
.
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date
08.08 04.09 11.09 07.10 02.11 10.11 05.12 01.13 08.13 04.14EUR/RUB
,EUR/USD-1
lag
corre
lation
-0.3
-0.2
-0.1
0
0.1
0.2
date08.08 04.09 11.09 07.10 02.11 10.11 05.12 01.13 08.13 04.14
U
SD/RUB
,RTS-1
lagcorre
lation
-0.2
-0.1
0
0.1
0.2
0.3
date08.08 04.09 11.09 07.10 02.11 10.11 05.12 01.13 08.13 04.14
USD/RUB
,Bren
t-1
lagcorre
lation
-0.2
-0.1
0
0.1
0.2
date
08.08 04.09 11.09 07.10 02.11 10.11 05.12 01.13 08.13 04.14USD/RUB
,EUR/USD-1
lag
corre
latio
-0.2
-0.15
-0.1
-0.05
0
0.05
0.1
0.15
0.2
date08.08 04.09 11.09 07.10 02.11 10.11 05.12 01.13 08.13 04.14
EUR/RUB
,USD/RUB-1
lagcorre
latio
-0.3
-0.2
-0.1
0
0.1
0.2
Maraging Partners
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time lag, hours0 2 4 6 8 10
Pearson-norma
lize
dau
tocorre
lation
-0.2
-0.1
0
0.1
0.2
0.3RTS Index
Brent
EUR/USD
EUR/RUB
USD/RUB
Maraging Partners
time lag, hours-10 -5 0 5 10
P
earsoncorre
lation,
intermarke
t
-0.2
-0.15
-0.1
-0.05
0
0.05
0.1
0.15
BR,EDBR,EU
BR,SI
RI,BR
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time lag, hours-10 -5 0 5 10
Pearsoncorre
lation,
intermarke
t
-0.4
-0.2
0
0.2
0.4
BR,ED
ED,EU
ED,SI
RI,ED
Maraging Partners
time lag, hours-10 -5 0 5 10
Pearsoncorre
lation,
intermarke
t
-0.4
-0.2
0
0.2
0.4
0.6 BR,EU
ED,EUEU,SI
RI,EU
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time lag, hours-10 -5 0 5 10
Pearsoncorre
lation,
intermarke
t
-0.3
-0.2
-0.1
0
0.1
0.2 RI,BRRI,EDRI,EU
RI,SI
Maraging Partners
time lag, hours-10 -5 0 5 10
Pearsoncorre
lation,
intermarke
t
-0.4
-0.2
0
0.2
0.4
0.6 BR,SIED,SI
EU,SI
RI,SI
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R2
R2
0.35 0.079
0.12
R2
R2
R2
R2
R2 R2
R2 R2 p1
R2
R2
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R2
date
08.08 04.09 11.09 07.10 02.11 10.11 05.12 01.13 08.13 04.14
RI(RTSIndex
),R
_2
-0.1
0
0.1
0.2
0.3
0.4
.
date08.08 04.09 11.09 07.10 02.11 10.11 05.12 01.13 08.13 04.14
B
R(Bren
t),
R_
2
-0.2
-0.1
0
0.1
0.2
0.3
0.4
0.5
date08.08 04.09 11.09 07.10 02.11 10.11 05.12 01.13 08.13 04.14
ED(EUR/USD),R
_2
-0.1
0
0.1
0.2
0.3
0.4
.
date08.08 04.09 11.09 07.10 02.11 10.11 05.12 01.13 08.13 04.14
EU(EUR/RUB),R
_2
-0.1
0
0.1
0.2
0.3
0.4
0.5
0.6
0.7
date08.08 04.09 11.09 07.10 02.11 10.11 05.12 01.13 08.13 04.14
SI(USD/RUB),R
_2
-0.2
-0.1
0
0.1
0.2
0.3
0.4
0.5
0.6
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R2
BR R_2 month-0.2 -0.1 0 0.1 0.2 0.3 0.4 0.5
BRR
_2nex
tmon
th
-0.2
-0.1
0
0.1
0.2
0.3
0.4
0.5
/ ndf2 1.322 / 53
Prob 1
p0 0.028130.136
p1 0.1334-0.03266
/ ndf2 1.322 / 53
Prob 1
p0 0.028130.136
p1 0.1334-0.03266
Maraging Partners
R2 y R2 x
y= p0+ xp1
RI R_2 month-0.1 0 0.1 0.2 0.3 0.4 0.5
RIR
_2nex
tmont
h
-0.1
0
0.1
0.2
0.3
0.4
0.5
/ ndf2 0.603 / 53
Prob 1
p0 0.024790.188p1 0.1292-0.233
/ ndf2 0.603 / 53
Prob 1
p0 0.024790.188p1 0.1292-0.233
Maraging Partners
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R2
ED R_2 month-0.1 0 0.1 0.2 0.3 0.4 0.5
EDR
_2nex
tmon
th
-0.1
0
0.1
0.2
0.3
0.4
0.5
/ ndf2 0.9535 / 53
Prob 1
p00.027270.1377
p1 0.13860.04564
/ ndf2 0.9535 / 53
Prob 1
p00.027270.1377
p1 0.13860.04564
Maraging Partners
EU R_2 month-0.1 0 0.1 0.2 0.3 0.4 0.5 0.6 0.7
EUR
_2nex
tmon
th
-0.1
0
0.1
0.2
0.3
0.4
0.5
0.6
0.7
/ ndf2 1.129 / 53
Prob 1
p0 0.034370.193p1 0.13690.06147
/ ndf2 1.129 / 53
Prob 1
p0 0.034370.193p1 0.13690.06147
Maraging Partners
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R2
SI R_2 month-0.2 -0.1 0 0.1 0.2 0.3 0.4 0.5 0.6
SIR
_2nex
tmon
th
-0.2
-0.1
0
0.1
0.2
0.3
0.4
0.5
0.6
/ ndf2 1.107 / 53
Prob 1
p0 0.030460.2063p1 0.1339-0.1864
/ ndf2 1.107 / 53
Prob 1
p0 0.030460.2063p1 0.1339-0.1864
Maraging Partners
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V[x] =E[x2(t)]|t,
E[ ]|t
x1(t) x2(t)
C[td|x1, x2] =E[x1(t+ td)x2(t)]|t,
td x1 x2
td = t1 t2,
E[ ]|t x1 x2
x1 x2 td
x1 x2 x1
t1 = t2+ L.
x2 x1 x2
CP
CP 1.
CP[td|x1, x2] =C[td|x1, x2]
V[x1]V[x2].
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CSI
CSI
= 1
10
|CP[0| ]| + |CP[0| ]| + |CP[0| ]| + |C(0| )|
+|C[0|
]| + |C[0|
]| + |C[0|
]
+|C[0| ]| + |C[0| ]|
+|C[0| ]|
CP[td|A,B]
td
CSI
1
CBPI
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CBPI
= 1
25
|CP[1| ]| + |CP[1| ]| + |CP[1| ]| + |CP[1| ]| + |CP[1| ]|
+|CP[1| ]| + |CP[1| ]| + |CP[1| ]| + |CP[1| ]|
+|CP[1| ]| + |CP[1| ]| + |CP[1| ]|
+|CP[1| ]| + |CP[1| ]|
+|CP[1| ]|
+|CP[1| ]| + |CP[1| ]| + |CP[1| ]| + |CP[1| ]|
+|CP[1| ]| + |CP[1| ]| + |CP[1| ]|
+|CP[1| ]| + |CP[1| ]|
+|CP[1| ]|
CBPI
1
CBPI
=
2/
CBPI
R2 R2
R2
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R2
R2 =
1
7 (CP[1|C, C] + CP[1|H,H] + CP[1|L,L]+ CP[1|C,H] + CP[1|C, L] + CP[1|H,L] + CP[1|L,H]),
CP
CP[1|H,C]
td = 1 =tH tC
CP[1|L,C]
td = 1 =tL tC
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