EUR/USD intraday seasonality overview, 2003-2010

In the past, we have looked at hour-scale autocorrelations and intermarket correlations in FX, averaged over observation intervals as long as several years. We have also looked at time evolution of interesting correlation effects, averaged over shorter time intervals. This report begins a new series of reports about intra-day "seasonality" effects in FX. We are interested in seasonality effects in both first (averages) and second-order (variances, correlations) statistics. If the correlation patterns happen to be meaningfully different during different times of the day, one can use this to one's advantage by programming the forecasting algorithms to work differently during those times, and by using different sets of parameters. Different models would be responsible for the different "seasons" of the day. This first report, dedicated to EUR/USD, begins accumulating such data.

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