Fourth order cumulant study with more FX rates and time windows

Source: forexautomaton.com

The previous study revealed the positiveness of the fourth-order cumulant among the logarithmic increments for 24-hour highs and lows in EUR/USD and the respective ForexAutomaton forecasts. By expanding the scope of the study to include all of the 14 most popular exchange rates, and by splitting the time span of the simulated trading into five independent intervals, I demonstrate that the result is not just a feature of EUR/USD and is stable in time. The data hint at a correlation between the fourth-order cumulant under study and predictability of close (measured by Pearson correlation coefficient between predicted and actual logarithmic returns). However, the signal strength for these figures of merit, defined as the ratio of the value in question to the estimated precision of its measurement, appears to lend more credibility to the cumulant.


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