For the FX Traders Part II - A Watch List of the Biggest Movers

It is not news that news moves financial markets. This blog will publish research on how, when, why, and which news moves what financial markets.

In the last post I gave a table of the most statistically significant FX moves. Another way of showing this information is to rank the table by the biggest moves. Since all of the results are highly significant anyway, and the results are for standardized news (see the post from Thursday, October 12, 2006 - Standardized News), we can compare them. Here is the ranking of the other top results (again ranked by the size of the response to news):

Financial Market	Announcement
CHF	NFP
EUR	NFP
AUD	NFP
JPY	NFP
GBP	NFP
CHF	ITB
EUR	ITB
CAD	NFP
JPY	ITB
GBP	ITB
CAD	ITB
AUD	ITB
CAD	GDP
CHF	RSX
JPY	GDP
CHF	IJC
JPY	RSX
CAD	IJC
EUR	HICP
JPY	HICP

The biggest average historical move is for the Swissy (USD/CHF - Swiss franc) in response to the U.S. Non-farm payrolls (NFP). A bit of a surprise n'est-ce pas? And as a teaser, the coefficient is 0.291584. From this coefficient we can anticipate future moves once we have a view of the next announcement and the market expectation (from an economic derivatives auction). What else am I working on? I'm writing the specification and use case for an application that speculators and hedgers may find useful. This application would incorporate the results of my research and make the results more useful. More of this as it takes shape in the New Year.