Skip to main content

Posts

Showing posts from November, 2013

Currency Heat Map

Heat Map of the G10 currencies returns(FX wrt USD)


Period of study : Jan 2007 till Dec 31 2008

Pink Diagonal represents perfect correlation of the currency with itself.

Deep blue shades : Negative correlation





   EUR          JPY           CHF         GBP          CAD          AUD         NZD          NOK         SEK
EUR  1.00000000  0.232250036 -0.0182779681  0.22449062  0.458694711  0.567454005 0.431979342 0.2642251550  0.68334286
JPY  0.23225004  1.000000000  0.0024913017  0.05916178 -0.007556009  0.012980464 0.033255786 0.0227664759  0.11623450
CHF -0.01827797  0.002491302  1.0000000000 -0.00402642 -0.037831212 -0.004113161 0.001627921 0.0006448854 -0.01295485
GBP  0.22449062  0.059161785 -0.0040264196  1.00000000  0.148245636  0.190834936 0.149657294 0.0747953165  0.18267706
CAD  0.45869471 -0.007556009 -0.0378312120  0.14824564  1.000000000  0.609374854 0.450332224 0.1699603114  0.44063655
AUD  0.56745401  0.012980464 -0.0041131614  0.19083494  0.609374854  1.000000000 0.689882355 0.20…

Event Analysis of FOREX based on US Unemployment release dates

Performed Event Study of the G10 currencies in response to release of unemployment data in US. In this study, I am defining the events merely by the date of release and not looking at what the Actual & Survey values are ( Part 2 : to be followed after this).
The period of observation for this event study is from Jan 1 2007 till October 30 2013. The event window is +-10 days from the day of event (21 days). The line graphs are FX rates of each currency vs USD and in each graph we are looking at the mean, Upper Confidence Level and Lower Confidence Level ( conf interval of 95%) of cumulative returns for each of the respective days in the event window. ( Bootstrap inference for the Event Study)








Break-up of NYC restaurants with multiple food safety violations

Continuation of my previous analysis where I searched for top 5 zip codes with maximum violations broken into  top 5 cuisines contributing to violations , and further narrowed down  to 5 restaurant names within each of those cuisine types.