FX博客是什么驱动高频FX-118793151

Copper's influence on FX has intensified, now surpassing US equities in affectinghigh-frequency moves across more currency pairs. Concurrently, VIX and US rates Over the past three months, copper's most significant contemporary and forward-lookingimpact has been on USD/ZAR and AUD/USD,showing moderatecorrelations. Despite copper's recent surge, US equities continue to exert a more Digging deeper into specific pairs: nUSD/CADis currently driven by a combination of Canadian equities, USequities, and copper, with strong correlations to US equities, EM equities,and VIX.nEUR/USD,while primarily influenced by European equities, shows strongcorrelations with US rates, EM equities, and copper. Based on correlation-based Minimum Spanning Trees, EM equities remain thedominant contemporaneous driver of high-frequency FX movements, with VIX and Figure 1, Figure 3 and Figure 13 look at causality in FX. Figure 1 shows thecurrencies whose moves can be statistically predicted by other asset classes. Figure 3 ranks the drivers of FX (highest to lowest number of currencies, driven bya given asset). Figure 13 shows the relative importance of each asset in driving agivencurrency in the recent period.Figure 11 looks at contemporaneouscorrelations. We show the top 3 correlations between FX pairs and other asset Source :Deutsche Bank, EBS, Reuters We compute daily correlations using log price changes sampled at 5 minutes frequency and take anaverage of the daily correlations over the past five days to arrive at the final 5-day correlation numbers. We compute daily correlations using log price changes sampled at 5 minutes frequency and take anaverage of the daily correlations over the past five days to arrive at the final 5-day correlation numbers. We compute daily correlations using log price changes sampled at 5 minutes frequency and take anaverage of the daily correlations over the past five days to arrive at the final 5-day correlation numbers. Source : Deutsche Bank, EBS, Reuters; 4-week rolling average connections Appendix 1 Important Disclosures *Other information available upon request *Prices are current as of the end of the previous trading session unless otherwise indicated and are sourced from localexchanges via Reuters, Bloomberg and other vendors . Other information is sourced from Deutsche Bank, subject companies,and other sources. For further information regarding disclosures relevant to Deutsche Bank Research, please visit our globaldisclosure look-up page on our website at https://research.db.com/Research/Disclosures/FICCDisclosures. Aside from withinthis report, important risk and conflict disclosures can also be found at https://research.db.com/Research/Disclosures/ Analyst Certification The views expressed in this report accurately reflect the personal views of the undersigned lead analyst(s). In addition, theundersigned lead analyst(s) has not and will not receive any compensation for providing a specific recommendation or view Additional Information The information and opinions in this report were prepared by Deutsche Bank AG or one of its affiliates (collectively 'DeutscheBank'). Though the information herein is believed to be reliable and has been obtained from public sources believed to bereliable, Deutsche Bank makes no representation as to its accuracy or completeness. Hyperlinks to third-party websites in thisreport are provided for reader convenience only. Deutsche Bank neither endorses the content nor is responsible for the If you use the services of Deutsche Bank in connection with a purchase or sale of a security that is discussed in this report, oris included or discussed in another communication (oral or written) from a Deutsche Bank analyst, Deutsche Bank may act asprincipal for its own account or as agent for another person. Deutsche Bank may consider this report in deciding to trade as principal. It may also engage in transactions, for its own accountor with customers, in a manner inconsistent with the views taken in this research report. Others within Deutsche Bank,including strategists, sales staff and other analysts, may take views that are inconsistent with those taken in this researchreport. Deutsche Bank issues a variety of research products, including fundamental analysis, equity-linked analysis,quantitative analysis and trade ideas. Recommendations contained in one type of communication may differ fromrecommendations contained in others, whether as a result of differing time horizons, methodologies, perspectives or Opinions, estimates and projections constitute the current judgment of the author as of the date of this report. They do notnecessarily reflect the opinions of Deutsche Bank and are subject to change without notice. Deutsche Bank provides liquidityfor buyers and sellers of securities issued by the companies it covers. Deutsche Bank research analysts sometimes haveshorter-term trade ideas that may be inconsistent with Deutsche Bank's existing longer-term