Proving Correlation

Given the last 8 years of Actual vs Prediction numbers (here) we analysed both the daily return on two currency pairs (GBPUSD and EURUSD) and also the jump return (across the hightest volatility window) on the same two currency pairs.

R script for analysis CSV analysis output

Correlation of daily return with prediction (-20%)

Cinque Terre

Correlation of jump return with prediction (-30%)

Cinque Terre