AUD/JPY and EUR/CHF leading indicator history, 2002-2009

This is a follow-up report on the predictive feature discovered in the correlation analysis of AUD/JPY and EUR/CHF. The feature was found by studying the time-integrated correlation of logarithmic returns in the two time series. A detailed time-evolution study is necessary to tell whether this effect is merely a result of a single high-impact event or a recurrent feature. The effect in question was found not to exist in the Asia-Pacific trading, therefore in this report I cover the trading hours from 4am to 8pm New York time, which excludes Asia. I extend the period of observation up to April 2009 and analyze the time stability of the leading indicator provided by AUD/JPY for EUR/CHF.

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