Analysis of Exchange Rates and Gold Price Using Relative Noise Contribution

Abstract

We analyze the time series of exchange rates and gold price, USD/JPY, EUR/USD, USD/CHF, GBP/USD and XAU/USD, in the period before and after the bankruptcy of Lehman Brothers by using relative noise contribution. Relative noise contribution detects the influences among multiple time series. As a result, we found the exchange rates and gold price are basically driven by their own influence. However, when the affairs happened, they sometimes were driven by other rates or price. In addition, the reaction to the affairs is changed before and after the bankruptcy of Lehman Brothers. These may result in the difference of trader's ideas between before and after of the bankruptcy. This result implies that the framework has a potential to find some relationship among the markets and participant's behavior.