For backtesting correlations amongst major currencies, I'm looking for references regarding which instruments, currency or other, constitute:
1) EUR
2) GBP
3) JPY
4) AUD
similar to the U.S. Dollar Index as-described on Wikipedia: http://en.wikipedia.org/wiki/U.S._Dollar_Index ..."It is a weighted geometric mean of the dollar's value compared only with "basket" of 6 other major currencies which are:
Euro (EUR), 57.6% weight
Japanese yen (JPY) 13.6% weight
Pound sterling (GBP), 11.9% weight
Canadian dollar (CAD), 9.1% weight
Swedish krona (SEK), 4.2% weight and
Swiss franc (CHF) 3.6% weight"
I looked around the forexuseful.com site referenced by the wiki for those weights, and don't see anything concerning other currency index weight schedules.
Far as EUR, did notice a (rough) article here (http://forexltd.co.uk/trade/contrspec/eurx/) concerning the NYBOT/ICE EURX contract: "The current value of Euro Index is a mean value of rate fluctuation of five world currencies (USD, GBP, JPY, CHF and SEK) regarding Euro...The greatest part of foreign trade of EU members falls to USA (31.55%), after which come Great Britain (30.56%), Switzerland (11.13%), Japan (11.13%), and Sweden (7.85%)."
Any info?
1) EUR
2) GBP
3) JPY
4) AUD
similar to the U.S. Dollar Index as-described on Wikipedia: http://en.wikipedia.org/wiki/U.S._Dollar_Index ..."It is a weighted geometric mean of the dollar's value compared only with "basket" of 6 other major currencies which are:
Euro (EUR), 57.6% weight
Japanese yen (JPY) 13.6% weight
Pound sterling (GBP), 11.9% weight
Canadian dollar (CAD), 9.1% weight
Swedish krona (SEK), 4.2% weight and
Swiss franc (CHF) 3.6% weight"
I looked around the forexuseful.com site referenced by the wiki for those weights, and don't see anything concerning other currency index weight schedules.
Far as EUR, did notice a (rough) article here (http://forexltd.co.uk/trade/contrspec/eurx/) concerning the NYBOT/ICE EURX contract: "The current value of Euro Index is a mean value of rate fluctuation of five world currencies (USD, GBP, JPY, CHF and SEK) regarding Euro...The greatest part of foreign trade of EU members falls to USA (31.55%), after which come Great Britain (30.56%), Switzerland (11.13%), Japan (11.13%), and Sweden (7.85%)."
Any info?