# Help out a university student



## squidgy_wiji (9 June 2009)

Hey guys I'm an honours student in Economics and I'm writing my thesis on the Efficient Market hypothesis. 

I'm analysing the effect of a central bank interest rate announcement on the currency pairs of that currency. E.g a Fed funds rate announcement and the changes in US/CAD, US/AUS, US/GBP etc.
Or RBA interest rate announcement and changes in AUS/USD, AUS/NZD, AUS/...


To do this I need a days worth of minute by minute tick data for many currency pairs on the day of the interest rate announcement. I am only able to get 12 US currency pairs. Is there anywhere I can buy this kind of tick data at a reasonable price. I will probably need at least 50 different currency pairs. 

I would really appreciate any help. 

Cheers


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## doctorj (9 June 2009)

I'd be surprised if someone here doesn't volunteer the data. 

What do you plan on writing about?  EMH is one of those very well worn paths that tends to lead no where particularly practical...


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## squidgy_wiji (9 June 2009)

doctorj said:


> I'd be surprised if someone here doesn't volunteer the data.
> 
> What do you plan on writing about?  EMH is one of those very well worn paths that tends to lead no where particularly practical...





It's will be a Microeconomic theory paper so like alot of Economic theory it is very practical assuming 835823852 assumptions hold 


But I would really appreciate it if anyone can help me out with this data.  

Thanks alot!


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## beerwm (9 June 2009)

50 seems like alot,

you might have more luck here,
http://www.forexfactory.com/forum.php


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## vincent191 (9 June 2009)

Take a random walk on the wild side.


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## aleckara (9 June 2009)

For a university thesis seems like enough of an opened ended topic to keep yapping about and probably get your quota up especially if you are still an undergrad doing an honours.

In all honesty doing my degree I never found the EMH too believable (I do think it kind of works for certain securities that are easier to access) but that's always up for debate. It seems to be one of those faith based things.


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## prawn_86 (9 June 2009)

I always wanted to do a thesis disproving EMH, although thats prob been done and i dont actually want to do a thesis :


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## white_goodman (9 June 2009)

i really should have picked economics not property economics...

something you may wanna look at... I read in my favourite trading book: "Adventures of a Currency Trader" by Rob Booker and even though its fiction, its loosely based on truth... one chapter was about backtesting, they found that IR announcements and changes in monetary policy affected the currency pair around 6 months down the track...

so you would put on a column graph the spread difference between say the RBA IR and the japanese one then plot on the same graph the AUDJPY chart...

maby you could draw some conclusions from that, allegedly you could see like a 6 month lag...

food for thought.


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## squidgy_wiji (9 June 2009)

I forgot to mention I need volume data as well.   I imagine this is not possible with spot prices.   So futures contracts would be the best way to go about it.  Are there only US$ pair futures contracts?   

At the moment that is the only data I am able to get.  But for the type of analysis i'm doing I will need more than that.


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## squidgy_wiji (9 June 2009)

white_goodman said:


> i really should have picked economics not property economics...
> 
> something you may wanna look at... I read in my favourite trading book: "Adventures of a Currency Trader" by Rob Booker and even though its fiction, its loosely based on truth... one chapter was about backtesting, they found that IR announcements and changes in monetary policy affected the currency pair around 6 months down the track...
> 
> ...




I'm looking at the immediate impact of announcements on exchange rates... 
thats why i'm looking at minute by minute data.

The book sounds interesting.  I'll have to check it out after I finish this year.


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## white_goodman (9 June 2009)

squidgy_wiji said:


> I'm looking at the immediate impact of announcements on exchange rates...
> thats why i'm looking at minute by minute data.
> 
> The book sounds interesting.  I'll have to check it out after I finish this year.




I liken it to the Remniscences of a Stock Operator for forex


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## Timmy (9 June 2009)

I would shoot off some emails to Bloomberg and Reuters.  They are both big so it may take a  few emails to find someone who can help you but might be worth a shot.  The data will only be indicative.

As for volume data - you do do know there is no central exchange so the only volume you are going to get is going to piecemeal and may or may not be representative of volumes that are trading?  Tick volume is a poor substitute and, some would argue, (quite accurately IMHO), that it is not really a substitute at all.


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## Stormin_Norman (10 June 2009)

data: http://www.alpari-idc.com/en/dc/databank.html


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## kam75 (10 June 2009)

squidgy_wiji said:


> Hey guys I'm an honours student in Economics and I'm writing my thesis on the Efficient Market hypothesis.
> 
> I'm analysing the effect of a central bank interest rate announcement on the currency pairs of that currency. E.g a Fed funds rate announcement and the changes in US/CAD, US/AUS, US/GBP etc.
> Or RBA interest rate announcement and changes in AUS/USD, AUS/NZD, AUS/...
> ...





Doesn't MT4 have a way to export this??


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## Stormin_Norman (10 June 2009)

yeah and there's 10 years of 1 minute data on the web.

efficient market hypothesis is like picking the shortest que. difficult, and they do even out, but only because the quick take advantage of the shorter / quicker moving lines.


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## squidgy_wiji (10 June 2009)

Thanks for that I'll give this a try.


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## caribean (11 June 2009)

squidgy_wiji said:


> Hey guys I'm an honours student in Economics and I'm writing my thesis on the Efficient Market hypothesis.
> 
> I'm analysing the effect of a central bank interest rate announcement on the currency pairs of that currency. E.g a Fed funds rate announcement and the changes in US/CAD, US/AUS, US/GBP etc.
> Or RBA interest rate announcement and changes in AUS/USD, AUS/NZD, AUS/...
> ...




Hi there, your best bet if you want realistic volume would be Currency Futures, BUT the problem would be the 50 pairs required, can do about 5
You can get a Sierra chart free demo, and say Transact demo (futures broker) for a couple of weeks, with tick data, and volume and also time & sales data, good luck.


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## Stormin_Norman (13 June 2009)

http://ratedata.gaincapital.com/

thats what u want.


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## squidgy_wiji (15 June 2009)

Thanks for the reply but again that site only has data on a few different pairs.  

Oh well.


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## Stormin_Norman (16 June 2009)

squidgy_wiji said:


> Thanks for the reply but again that site only has data on a few different pairs.
> 
> Oh well.




few = about 30.


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## Tradesurfer (16 June 2009)

From your posts, it sounds like one of the challenges you are facing is getting beyond the normal traded forex pairs.

For most of us who trade forex its the US dollar denominated ones then the crosses. Euro against X and Y and offcourse the carry trades especially AUD/JPY and NZD/JPY etc. Getting outside of those you see more illiquid pairs and the succintness of price charting isn't quite the same. 

But not knowing your exact goals don't want to discourage you from also exploring those peripheral pairs.

Kathy Lien who I've interviewed and co-hosting webcasts with a number of times wrote a great book on day trading and swing trading the currency markets (search under her name and title)

She's really knowledgable and if you have a chance, she does get into fading or trading news events and I believe she talks about typical pip movements from news events such as intest rates and nonfarm payrol figures. 

Now this isn't solving your data issue, but thought I'd point out this resource as something that might be helpful. 



Good luck with the project


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## doctorj (19 June 2009)

Given you're discussing EMH, I think you'll find this recent paper worth taking a few minutes to read


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## squidgy_wiji (20 June 2009)

Stormin_Norman said:


> few = about 30.




Yeah but say I;m looking at US interest rate announcements..  the EUR/AUS, 
JPY/AUS pairs are no use.

If I am looking at the fed funds rate announcements then there are only about 12 pairs that will be of use.

But thanks anyway.


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## Stormin_Norman (20 June 2009)

how many do u want???

go ask your uni library if u want to see the exchange rate change between the US and botswana.


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