外匯市場中的相關性

從統計學上來講，相關性是衡量兩個事物在一段時間内的關聯程度的。相關性的範圍在-1~1之間，-1為高度負相關，1為高度正相關。正向相關表示二者的移動方向相似，而相關度越高，移動的方向越相近。反之亦然。負向相關表示二者移動方向相反，而數值越小，相反的趨勢越明顯。

在外匯市場中有一點很重要，你在交易時是將一組貨幣對視為一個單位。每個貨幣對都由兩個不同的貨幣組成，而兩個貨幣的價值相除即為貨幣對的價格。從技術上來講，你在交易貨幣對時，本質上是在進行兩筆交易，你在買入一種貨幣，同時賣出一種貨幣。以澳元/美元為例，如果你看多，就是在買入澳元同時賣出美元。所以貨幣對與股票或大宗商品不同，它本質上是單獨的兩筆交易。將外匯交易視為兩筆交易會幫助你理解其他貨幣對之間的關系，從而明白為何外匯市場中有如此多的相關性。

建立健康的外匯關系

如果將外匯市場中的主流貨幣對進行對比，你會立刻發現其中有很多相似的走勢圖。下圖以歐元/日元和歐元/美元為例：

上述兩組貨幣對的走勢如此相似，表明二者之間有高度的相關性。如果將交易分解，就會發現原因其實很簡單。在歐元/日元和歐元/美元看多的交易中，你都在買入歐元，賣出另一種貨幣。通過數學公式你就能發現實質上是哪兩個貨幣在進行對比，如此之高的相關性也就很容易解釋了。

                        
接下來以美元/日元和歐元/美元為例：

在該圖中你能發現極高的負相關性。與上一個例子類似，此處的驅動因素也是同一個貨幣——美元。但本例的不同之處在於美元的交易方向是相反的。因為一組貨幣對買入美元，另一組賣出美元，因此意外地出現了負向相關。為了進一步解釋這一點，我們假設只有美元是波動的，另兩種貨幣（日元和歐元）保持不變。得出的結果就是美元和反向美元的對比。以下是對比公式：

理解外匯市場中相關性

在理解外匯市場中貨幣對之間的相關性時，一個貨幣出現一次以上是不明智的。在對比兩組貨幣對時，所有的四種貨幣對都會影響結果。為了避免誇大某一貨幣的影響，無論它是買入還是賣出，都只能出現一次。這樣就能得到準確的相關性，從而準確地洞察兩種貨幣之間的關系。相關性的對比可以為你創造新的交易機會，提供獨特的交易策略。為了抓住這些機會，你必須清楚地了解你對比的是什麼。

Correlation in the Forex Market

Statistically speaking, correlation is the measured relationship between two units over a series of time. Correlation is measured on a range of -1 (perfect negative correlation) to 1 (perfect positive correlation). A positive correlation implies that the two units move in similar directions, the higher the correlation the closer and more accurately these moves are. Conversely, a negative correlation represents opposite movements with a smaller (more negative) number representing a stronger relationship between the opposite movements.
 
It is important to understand that in the forex market you are trading currency pairs as a single unit. These pairs consist of two different currencies and are priced based on the value of one currency divided by the other. Technically you are making two trades when you trade any forex pair. You are buying one currency while simultaneously selling the other. For example: with the AUD/USD you are buying the AUD while selling the USD when you go long the pair. So, instead of looking at currency pairs as a single unit like a stock or a commodity, it is more appropriate to look at currency pairs as two separate trades. Viewing forex pairs as two separate trades will help you understand the relationship between other currency pairs, and will help to clarify why there seems to be an outstanding amount of correlation within the forex market.

Creating Healthy (Forex) Relationships

If you were to compare some of the major pairs in the forex market, you would immediately notice that many have an uncanny resemblance in their pattern. Below is an example of the EUR/JPY vs. EUR/USD:
 
The above two pairs move in such a similar manner and show a high level of correlation. There is a simple reason for this and becomes apparent when you break the trades down. In both the EUR/JPY and EUR/USD you are buying the EUR and selling some other currency in a long trade. If you take another look at what you are actually comparing in mathematical form the reason for the strong correlation becomes quite obvious:
 
Now take the example of the USD/JPY and EUR/USD:

In this example you see a highly negative correlation. Similarly to the last example, the driving factor here is the increased appearance of a specific currency. In this case the USD. However the difference in this case is that you have the currency appearing on opposites ends for each trade. Because one pair is buying and one is selling, you have inadvertently caused a negative relationship. To further illustrate this point, let's assume that the only currency that moves is USD, while the two other currencies (JPY and EUR) remain flat. Now you are effectively comparing the relationship of USD to that of the inverted USD, which is rather useless. Here is the comparison in equation form:
 
Understanding Correlation in the Forex Market

When comparing pairs in the forex market for correlation, it is usually not wise to have a currency represented more than once. In the comparison of two currency pairs you will have a total of four currencies affecting the relationship. To avoid one currency from being overstated it is vital that all four currencies, regardless of whether they are being bought or sold, only appears once. By doing this you can create unique relationship that will be able to give you a valuable and unique insight in to the relationship of two pairs. Correlation comparison can potentially set you up for new and exciting trading opportunities as well as offer you several unique trading strategies. In order for you to understand and realize these opportunities you must first understand the full breadth of what is being compared.

本文翻譯由兄弟財經提供
文章來源：http://www.actionforex.com/articles-library/forex-articles/correlation-in-the-forex-market-2009050586722/