This report continues a new series of reports about intra-day "seasonality" effects in FX. Like in EUR/USD, the hourly movements in AUD/JPY do not precisely average to zero for every hour of the day. Moreover, there appears to be a statistically preferred time to bet on a trend reversal in AUD/JPY. Evidence for that comes from the comparison of temporal distribution of daily extremes with temporal distribution of volatility, and from autocorrelations of logarithmic returns with 1-hour lag.
AUD/JPY intraday seasonality overview, 2003-2010
Source: forexautomaton.com
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