Interesting Distribution
I’ve been listening to an interview (have made it 30 minutes into it hehe) with a guy called Nassim Taleb and thought I’d have a look at the distributions of the currencies to see if I could see fat tails and how many black swans there are etc.
Thus far I’ve had a look at the Aussie dollar and the Euro and a quick glance at the Canadian dollar.
I haven’t finished looking into them (need to download more data), though there were a couple of things that I thought were quite interesting.
- There are a lot of times when the currency ends up where it started (~18% of the time on the hourly charts), not a very good bell shape.
- There are a couple of horns on the aussie dollar hourly charts right at 10 pips.
Note: when looking at these charts X axis is the number of pips moved since the previous close. Y axis is the number of occurrences.
Also note: that I couldn’t figure out how to get matplotlib to not show points where data was zero, so just look for the spots where it’s slightly above zero to see the big moves.
I should mention something that I know I would wonder about… I discarded periods where there was no trade activity (high!=low).
I will publish some more charts later, right now I need to do some work 
Filed by Popeye at June 20th, 2007 under Finance, FOREX, Trading