外汇市场中的相关性

从统计学上来讲，相关性是衡量两个事物在一段时间内的关联程度的。相关性的范围在-1~1之间，-1为高度负相关，1为高度正相关。正向相关表示二者的移动方向相似，而相关度越高，移动的方向越相近。反之亦然。负向相关表示二者移动方向相反，而数值越小，相反的趋势越明显。

在外汇市场中有一点很重要，你在交易时是将一组货币对视为一个单位。每个货币对都由两个不同的货币组成，而两个货币的价值相除即为货币对的价格。从技术上来讲，你在交易货币对时，本质上是在进行两笔交易，你在买入一种货币，同时卖出一种货币。以澳元/美元为例，如果你看多，就是在买入澳元同时卖出美元。所以货币对与股票或大宗商品不同，它本质上是单独的两笔交易。将外汇交易视为两笔交易会帮助你理解其他货币对之间的关系，从而明白为何外汇市场中有如此多的相关性。

建立健康的外汇关系

如果将外汇市场中的主流货币对进行对比，你会立刻发现其中有很多相似的走势图。下图以欧元/日元和欧元/美元为例：

上述两组货币对的走势如此相似，表明二者之间有高度的相关性。如果将交易分解，就会发现原因其实很简单。在欧元/日元和欧元/美元看多的交易中，你都在买入欧元，卖出另一种货币。通过数学公式你就能发现实质上是哪两个货币在进行对比，如此之高的相关性也就很容易解释了。

                        
接下来以美元/日元和欧元/美元为例：

在该图中你能发现极高的负相关性。与上一个例子类似，此处的驱动因素也是同一个货币——美元。但本例的不同之处在于美元的交易方向是相反的。因为一组货币对买入美元，另一组卖出美元，因此意外地出现了负向相关。为了进一步解释这一点，我们假设只有美元是波动的，另两种货币（日元和欧元）保持不变。得出的结果就是美元和反向美元的对比。以下是对比公式：

理解外汇市场中相关性

在理解外汇市场中货币对之间的相关性时，一个货币出现一次以上是不明智的。在对比两组货币对时，所有的四种货币对都会影响结果。为了避免夸大某一货币的影响，无论它是买入还是卖出，都只能出现一次。这样就能得到准确的相关性，从而准确地洞察两种货币之间的关系。相关性的对比可以为你创造新的交易机会，提供独特的交易策略。为了抓住这些机会，你必须清楚地了解你对比的是什么。

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.

本文翻译由兄弟财经提供
文章来源：http://www.actionforex.com/articles-library/forex-articles/correlation-in-the-forex-market-2009050586722/