DIY——Using spreadsheets to calculate currency correlation

Since you already know that the correlation will change over time, it is important to understand the current strength and direction of the correlation.

Fortunately, at your home, you can easily calculate currency correlations as long as you have your favorite spreadsheet application.

In our instructions, we used Microsoft spreadsheets, but you can use any software that utilizes relevant utilities.

1.Assuming you don't create daily price data without any basis, you will search for relevant information online. So, the first step is to do this! Obtaining data, assuming past6Data for months. Remember, you need to include data on the daily closing price. One source is the Federal Reserve.

2.Open the spreadsheet.

3.Copy and paste the data you obtained on a blank worksheet, or open the data exported by executing the first step. Get past6Data for months.

4.Now, organize the data in the following table or similar format. The color and font are up to you! Have fun. Although yellow is not the best choice.

5.It's time to decide on the time frame now. Do you want to know the correlation from last week? Last year's?

The size of the data you have will determine how much cycle correlation you can obtain, but you can always obtain more data.

In this example, we used1Data for months.

6.In the first space below the first pair of currencies you want to compare(I calculated the number in euros/The correlation between the US dollar and other currency pairs, starting with the euro/USD and USD/Japanese yen), input:=correl(

7.Next, select a Euro within a region/USD price data, followed by a comma. You need to select this area.

8.After the comma, select euros from the/Selecting a certain range of US dollars like the US dollar data/Japanese yen data.

9.Press the Enter key(Enter)Calculate the Euro/USD and USD/The correlation coefficient of the Japanese yen.

10.Repeat step5-9Step, calculate the correlation between other currency pairs and other time periods.

After completing these steps, you can use the new data to create a table that is similar to the following table.

This is just the initial state!

1Zhou1Months3Months6Months and1These time periods comprehensively reflect the correlation between currency pairs. But how many time periods to analyze depends on yourself.

Updating data every day may be a bit overwhelming, unless you are a currency correlation enthusiast. It is necessary to update every other week.

If you find yourself manually updating the data in the spreadsheet every hour, you may need to go out and find a hobby.