Currency | AUDCAD | AUDJPY | AUDNZD | EURAUD | EURJPY | EURUSD | GBPJPY | GBPUSD | USDCAD | USDJPY |
AUDCAD | 1 | 0.748 | 0.638 | -0.962 | -0.134 | 0.56 | 0.73 | 0.691 | -0.375 | -0.528 |
AUDCHF | 0.929 | 0.829 | 0.597 | -0.983 | -0.04 | 0.625 | 0.812 | 0.732 | -0.548 | -0.52 |
AUDJPY | 0.748 | 1 | 0.247 | -0.76 | 0.513 | 0.528 | 0.692 | 0.435 | -0.43 | -0.09 |
AUDNZD | 0.638 | 0.247 | 1 | -0.662 | -0.503 | 0.005 | 0.259 | 0.32 | 0.055 | -0.324 |
AUDSGD | 0.896 | 0.777 | 0.405 | -0.928 | -0.043 | 0.805 | 0.872 | 0.843 | -0.707 | -0.665 |
AUDUSD | 0.862 | 0.724 | 0.389 | -0.897 | -0.083 | 0.883 | 0.926 | 0.919 | -0.794 | -0.752 |
AUS200 | 0.08 | -0.27 | -0.021 | -0.038 | -0.46 | 0.322 | 0.044 | 0.317 | -0.262 | -0.548 |
CADCHF | -0.403 | 0.028 | -0.248 | 0.167 | 0.264 | 0.034 | 0.039 | -0.056 | -0.344 | 0.139 |
CADJPY | -0.34 | 0.369 | -0.544 | 0.269 | 0.915 | -0.033 | -0.038 | -0.349 | -0.088 | 0.609 |
CHFJPY | -0.161 | 0.446 | -0.518 | 0.226 | 0.974 | -0.061 | -0.071 | -0.399 | 0.113 | 0.671 |
CHFSGD | 0.057 | -0.015 | -0.453 | -0.004 | -0.018 | 0.625 | 0.308 | 0.442 | -0.55 | -0.506 |
CN50 | 0.539 | 0.796 | 0.099 | -0.608 | 0.406 | 0.6 | 0.746 | 0.531 | -0.596 | -0.218 |
EURAUD | -0.962 | -0.76 | -0.662 | 1 | 0.167 | -0.584 | -0.781 | -0.741 | 0.487 | 0.569 |
EURCAD | 0.536 | 0.288 | 0.179 | -0.284 | 0.064 | 0.169 | 0.152 | 0.136 | 0.179 | -0.091 |
EURCHF | 0.025 | 0.529 | -0.232 | -0.109 | 0.662 | 0.345 | 0.329 | 0.103 | -0.43 | 0.146 |
EURCZK | -0.491 | -0.693 | 0.047 | 0.519 | -0.45 | -0.769 | -0.767 | -0.639 | 0.736 | 0.388 |
EURGBP | -0.7 | -0.336 | -0.483 | 0.763 | 0.496 | -0.737 | -0.858 | -0.96 | 0.704 | 0.9 |
EURHUF | 0.62 | 0.177 | 0.563 | -0.675 | -0.618 | 0.522 | 0.67 | 0.807 | -0.493 | -0.808 |
EURJPY | -0.134 | 0.513 | -0.503 | 0.167 | 1 | 0.035 | 0.021 | -0.315 | -0.014 | 0.61 |
EURMXN | 0.015 | -0.265 | 0.261 | 0.13 | -0.23 | -0.646 | -0.577 | -0.514 | 0.8 | 0.367 |
EURNOK | -0.625 | -0.609 | -0.285 | 0.71 | 0.007 | -0.757 | -0.864 | -0.805 | 0.758 | 0.607 |
EURNZD | -0.907 | -0.83 | -0.377 | 0.944 | -0.016 | -0.719 | -0.851 | -0.774 | 0.626 | 0.559 |
EURPLN | 0.006 | -0.132 | 0.249 | 0.06 | -0.115 | -0.584 | -0.466 | -0.465 | 0.653 | 0.389 |
EURSEK | -0.384 | -0.508 | -0.345 | 0.491 | -0.131 | -0.258 | -0.48 | -0.334 | 0.311 | 0.121 |
EURSGD | 0.058 | 0.236 | -0.528 | -0.05 | 0.303 | 0.731 | 0.433 | 0.447 | -0.704 | -0.387 |
EURTRY | 0.524 | 0.005 | 0.436 | -0.536 | -0.698 | 0.61 | 0.566 | 0.813 | -0.551 | -0.929 |
EURUSD | 0.56 | 0.528 | 0.005 | -0.584 | 0.035 | 1 | 0.871 | 0.896 | -0.94 | -0.77 |
EURX | -0.606 | -0.105 | -0.582 | 0.623 | 0.659 | -0.392 | -0.527 | -0.687 | 0.326 | 0.732 |
EURZAR | 0.637 | 0.137 | 0.379 | -0.621 | -0.61 | 0.689 | 0.627 | 0.851 | -0.581 | -0.935 |
FRA40 | 0.199 | 0.443 | -0.02 | -0.096 | 0.652 | 0.167 | 0.163 | -0.028 | -0.03 | 0.236 |
GBPAUD | 0.065 | -0.289 | 0.049 | -0.12 | -0.594 | 0.514 | 0.491 | 0.694 | -0.563 | -0.787 |
GBPCAD | 0.784 | 0.376 | 0.504 | -0.789 | -0.47 | 0.737 | 0.847 | 0.946 | -0.63 | -0.883 |
GBPCHF | 0.703 | 0.399 | 0.456 | -0.776 | -0.416 | 0.779 | 0.895 | 0.971 | -0.756 | -0.883 |
GBPJPY | 0.73 | 0.692 | 0.259 | -0.781 | 0.021 | 0.871 | 1 | 0.919 | -0.818 | -0.677 |
GBPMXN | 0.664 | 0.078 | 0.674 | -0.598 | -0.669 | 0.13 | 0.302 | 0.454 | 0.032 | -0.529 |
GBPNOK | -0.303 | -0.609 | 0.008 | 0.373 | -0.438 | -0.46 | -0.512 | -0.331 | 0.491 | 0.088 |
GBPNZD | 0.286 | -0.178 | 0.396 | -0.344 | -0.724 | 0.476 | 0.543 | 0.751 | -0.5 | -0.839 |
GBPSEK | 0.598 | 0.153 | 0.381 | -0.621 | -0.59 | 0.684 | 0.721 | 0.893 | -0.625 | -0.918 |
GBPSGD | 0.653 | 0.359 | 0.307 | -0.707 | -0.383 | 0.857 | 0.888 | 0.989 | -0.818 | -0.924 |
GBPTRY | 0.634 | 0.167 | 0.481 | -0.671 | -0.629 | 0.693 | 0.731 | 0.917 | -0.644 | -0.951 |
GBPUSD | 0.691 | 0.435 | 0.32 | -0.741 | -0.315 | 0.896 | 0.919 | 1 | -0.848 | -0.912 |
GER30 | 0.615 | 0.859 | 0.17 | -0.676 | 0.412 | 0.634 | 0.786 | 0.566 | -0.61 | -0.241 |
HK50 | 0.454 | 0.801 | 0.048 | -0.515 | 0.535 | 0.535 | 0.666 | 0.414 | -0.535 | -0.084 |
IT40 | 0.502 | 0.666 | 0.187 | -0.556 | 0.408 | 0.733 | 0.786 | 0.687 | -0.745 | -0.459 |
JPN225 | 0.481 | 0.889 | -0.013 | -0.487 | 0.706 | 0.435 | 0.561 | 0.256 | -0.37 | 0.106 |
JPYX | -0.001 | -0.475 | 0.211 | -0.063 | -0.802 | 0.237 | 0.181 | 0.476 | -0.307 | -0.7 |
NAS100 | 0.4 | 0.257 | 0.06 | -0.263 | 0.041 | 0.269 | 0.153 | 0.185 | -0.063 | -0.185 |
NOKJPY | 0.547 | 0.725 | 0.123 | -0.622 | 0.286 | 0.725 | 0.827 | 0.67 | -0.724 | -0.394 |
NOKSEK | 0.602 | 0.539 | 0.25 | -0.676 | -0.071 | 0.771 | 0.841 | 0.82 | -0.764 | -0.659 |
NZDCAD | 0.956 | 0.801 | 0.385 | -0.901 | 0.028 | 0.668 | 0.775 | 0.706 | -0.469 | -0.51 |
NZDCHF | 0.844 | 0.883 | 0.299 | -0.897 | 0.158 | 0.74 | 0.859 | 0.739 | -0.673 | -0.486 |
NZDJPY | 0.565 | 0.95 | -0.069 | -0.569 | 0.691 | 0.542 | 0.628 | 0.344 | -0.46 | 0.011 |
NZDUSD | 0.776 | 0.716 | 0.191 | -0.808 | 0.023 | 0.939 | 0.928 | 0.907 | -0.857 | -0.729 |
SCI25 | 0.396 | 0.757 | -0.033 | -0.497 | 0.496 | 0.658 | 0.758 | 0.532 | -0.707 | -0.207 |
SEKJPY | 0.125 | 0.684 | -0.175 | -0.156 | 0.836 | 0.152 | 0.277 | -0.066 | -0.16 | 0.413 |
SGDJPY | -0.166 | 0.391 | -0.213 | 0.194 | 0.844 | -0.373 | -0.219 | -0.569 | 0.379 | 0.835 |
SPA35 | 0.332 | 0.774 | -0.062 | -0.423 | 0.617 | 0.488 | 0.608 | 0.335 | -0.535 | 0.005 |
UK100 | 0.5 | 0.784 | 0.086 | -0.596 | 0.405 | 0.664 | 0.789 | 0.582 | -0.694 | -0.27 |
US2000 | 0.643 | 0.781 | 0.115 | -0.696 | 0.267 | 0.822 | 0.876 | 0.745 | -0.784 | -0.482 |
US30 | 0.638 | 0.752 | 0.163 | -0.72 | 0.19 | 0.825 | 0.919 | 0.796 | -0.82 | -0.533 |
US500 | 0.675 | 0.736 | 0.205 | -0.744 | 0.135 | 0.836 | 0.922 | 0.822 | -0.812 | -0.577 |
USDCAD | -0.375 | -0.43 | 0.055 | 0.487 | -0.014 | -0.94 | -0.818 | -0.848 | 1 | 0.737 |
USDCHF | -0.588 | -0.444 | -0.059 | 0.596 | 0.109 | -0.979 | -0.849 | -0.924 | 0.897 | 0.845 |
USDCNH | -0.302 | -0.421 | -0.013 | 0.237 | -0.33 | -0.318 | -0.22 | -0.144 | 0.196 | 0.04 |
USDCZK | -0.536 | -0.622 | 0.011 | 0.567 | -0.257 | -0.908 | -0.867 | -0.82 | 0.878 | 0.628 |
USDHKD | -0.446 | -0.531 | -0.156 | 0.549 | -0.089 | -0.663 | -0.729 | -0.657 | 0.704 | 0.47 |
USDHUF | 0.1 | -0.332 | 0.585 | -0.134 | -0.682 | -0.437 | -0.152 | -0.034 | 0.405 | -0.09 |
USDJPY | -0.528 | -0.09 | -0.324 | 0.569 | 0.61 | -0.77 | -0.677 | -0.912 | 0.737 | 1 |
USDMXN | -0.247 | -0.412 | 0.163 | 0.352 | -0.163 | -0.871 | -0.77 | -0.74 | 0.943 | 0.587 |
USDNOK | -0.642 | -0.622 | -0.219 | 0.713 | -0.008 | -0.868 | -0.912 | -0.874 | 0.849 | 0.685 |
USDPLN | -0.405 | -0.436 | 0.09 | 0.449 | -0.07 | -0.95 | -0.813 | -0.83 | 0.933 | 0.708 |
USDRUB | 0.071 | -0.154 | -0.235 | -0.079 | -0.37 | 0.483 | 0.268 | 0.486 | -0.493 | -0.648 |
USDSEK | -0.617 | -0.649 | -0.166 | 0.684 | -0.09 | -0.896 | -0.901 | -0.852 | 0.872 | 0.653 |
USDSGD | -0.723 | -0.575 | -0.321 | 0.761 | 0.131 | -0.913 | -0.919 | -0.943 | 0.849 | 0.807 |
USDTHB | -0.1 | -0.487 | 0.406 | 0.087 | -0.625 | -0.55 | -0.375 | -0.227 | 0.514 | 0.036 |
USDTRY | 0.22 | -0.412 | 0.545 | -0.215 | -0.909 | -0.013 | 0.028 | 0.322 | 0.042 | -0.57 |
USDX | -0.08 | -0.437 | 0.3 | 0.106 | -0.534 | -0.446 | -0.342 | -0.197 | 0.454 | 0.013 |
USDZAR | 0.455 | -0.198 | 0.511 | -0.417 | -0.85 | 0.208 | 0.218 | 0.502 | -0.106 | -0.707 |
VIX | -0.698 | -0.721 | -0.352 | 0.67 | -0.217 | -0.389 | -0.499 | -0.371 | 0.255 | 0.17 |
XAGEUR | -0.436 | -0.424 | -0.036 | 0.522 | 0.04 | -0.885 | -0.783 | -0.825 | 0.909 | 0.729 |
XAGUSD | -0.523 | -0.334 | -0.214 | 0.596 | 0.277 | -0.837 | -0.776 | -0.881 | 0.837 | 0.841 |
XAUAUD | -0.6 | -0.456 | -0.388 | 0.677 | 0.198 | -0.737 | -0.813 | -0.834 | 0.734 | 0.712 |
XAUEUR | -0.342 | -0.206 | -0.44 | 0.441 | 0.265 | -0.448 | -0.532 | -0.579 | 0.506 | 0.526 |
XAUUSD | -0.465 | -0.053 | -0.668 | 0.541 | 0.631 | -0.385 | -0.515 | -0.667 | 0.403 | 0.708 |
XBRUSD | -0.45 | -0.293 | -0.215 | 0.564 | 0.292 | -0.777 | -0.801 | -0.876 | 0.83 | 0.803 |
XNGUSD | 0.183 | 0.043 | 0.145 | -0.052 | -0.013 | -0.118 | -0.107 | -0.105 | 0.281 | 0.088 |
XPDUSD | 0.285 | 0.146 | 0.318 | -0.159 | 0.009 | -0.126 | -0.061 | -0.089 | 0.304 | 0.109 |
XPTUSD | -0.25 | 0.038 | -0.156 | 0.31 | 0.466 | -0.561 | -0.487 | -0.668 | 0.589 | 0.742 |
XTIUSD | -0.388 | 0.121 | -0.334 | 0.375 | 0.682 | -0.486 | -0.454 | -0.692 | 0.419 | 0.819 |
ZARJPY | -0.529 | 0.067 | -0.454 | 0.528 | 0.796 | -0.516 | -0.471 | -0.754 | 0.44 | 0.916 |
4 Hour Correlation Matrix
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