USD/JPY intraday seasonality overview, 2003-2010

Source: forexautomaton.com

This USD/JPY report continues a new series of reports about intra-day "seasonality" effects in FX, reinforcing the emerging picture of peculiar "stationary" non-stationarity in these time series: even though there is no invariance of the time series properties with respect to an arbitrary time interval, there seems to be some degree of translation invariance with respect to the 24-hour time interval in both variance of logarithmic returns (expected), lagged covariance (not-so-well known) and mean logarithmic return (not-so-well known). Like in other time series studied so far, the hourly movements in USD/JPY do not average to zero for every hour of the day. Moreover, there seems to be a statistically preferred time to bet on a trend reversal in USD/JPY. Evidence for that comes from the comparison of temporal distribution of daily extremes with temporal distribution of volatility, and from time dependence of autocorrelations of logarithmic returns with 1-hour lag.


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