As prices are formed in the FOREX market


Or another example: currency options to the expiration date of publication in the important news (for example, FOMC meeting of the commission or the release of data on GDP, inflation, employment, etc.) are sold at much higher prices than similar options with expiry in other days of the month. This is due to increased market volatility during the publishing of important news. News amplify the volatility of the market in the days of their vyhoda and reduce it on the other days. Many traders in the day of publishing the most important statistics are trying to be out of the market - they do not want to risk further.

The histogram will show ...

To determine the extent to which the economic calendar is responsible for the non-random pricing shallow investment horizons market FOREX, to create histograms of the probability distribution of price changes on the value of the chosen instrument of this change in a relatively short period of time. In an earlier study histograms [1, 3] studied the changes in prices over the years, which generally graded or even excluded the influence calendar on the market.

The table shows the probability distribution of the 10-minute change in the closing price of the market USD / CHF for the complete cycle (10 days) in March 2000 in our first delta-loop, we take all of the changes and calculate the closing price of the course by the formula delta Ct = Ct - Ct-1. Then all the 1440 group the values found in the interval width of 10 points.

The figure compares the histograms of the probability distribution the 10-minute change in the closing price of the market USD / CHF for full delta-cycle in March 2000, with the curve of a normal distribution with the same standard deviation as that of our histogram. It is evident that the real exchange rate of the probability distribution of our assets on the value of the change in the small time intervals do not look like a normal distribution.

Probability of small change 10-minute USD / CHF rate from -10 to +10 points significantly higher than for a normal distribution. In addition, in the target delta-cycle 13 observed changes exceeding 50 points. These observations are theoretically possible if the change of the closing prices for the 10-minute sweep normally distributed.

Since the cumulative probability of all changes must equal 100%, the highest probability of small and large changes occur due to the lower rate of change in average size from 25 to 35 points on the existing trend in the 10-minute scan and from -45 to -35 points against the intermediate trend. And range, and intermediate trends Spozitsii financial terms dealing studied graphics at high risk of the central peak begin to decline sharply, are of great practical interest. The figure shows that in March 2000 it - the range of 25-35 points on the predicted direction and by 35-45 points in the opposite direction. It seems that the ranges of price changes mark the boundary between the small and large quantities of the 10-minute exchange rate fluctuations of the market USD / CHF.

It is likely that if the 10-minute price of USD / CHF may change more than 25-35 points in the direction of motion, it will change much more than 35 points. And the same thing in reverse: if a 10-minute USD / CHF rate will adjust to a value greater than 45 points, the depth of the correction will be much more than 45 points (one can even talk about the short turn of the market.)

That is, this figure is proof of the fact chto on short-period market FOREX exist as trading ranges, and intermediate trends.

At longer intervals of time (up to days inclusive) FOREX market prices exhibit more random variable, as trading ranges change over time, so we change the direction of the intermediate trend, and that also makes adjustments to the trading range.

Thus, the picture presented by the probability distribution of results prove the existence of a trading range, and intermediate trends in shallow investment horizons for the selected delta-cycle market FOREX. And it is clear that for each investment horizon this trading range (or channel price changes) is an individual and does not coincide with the trading range of different investment horizon.

The presence in the probability distributions of small and large price fluctuations - this is what traders are based in their practice in predicting the evolution of the market with a non-random pricing. The dynamics of the 10-minute closing price USD / CHF selected. Cycle indicates the presence of trading ranges, although such trading ranges and unique to shallow investment horizons. Nevertheless, they can effectively help traders of intraday trading. This may serve to support traders use simple techniques to identify each specific price channel. Given probability distribution suggests that technical analysis methods are more effective for the currencies with the investment horizon in the day.

In the construction of the figure was used technical analysis package of CQG, Inc.