Love your work mate. Quick question when (if) you have the time - in the heatmap when we're looking at correlations of say GBP and FTSE, is that GBPUSD or a trade weighted Index? Was trying to work up something similar and was getting different correls 😅
Love your work mate. Quick question when (if) you have the time - in the heatmap when we're looking at correlations of say GBP and FTSE, is that GBPUSD or a trade weighted Index? Was trying to work up something similar and was getting different correls 😅
I'm using an equal-weighted index because something trade-weighted like DXY is basically just EURUSD. I've explained how I calculate them here: https://www.fxmacro.info/i/94137590/currencies-and-yields
Understood. Thanks and have a good weekend!