[R-sig-finance] Is oanda.com data trustworthy?
edd at debian.org
Sat Nov 12 15:16:52 CET 2005
On 12 November 2005 at 18:35, Ajay Narottam Shah wrote:
| When expressed as 100*log(p2/p1), the returns look like this:
| US Fed oanda.com
| 2005-11-01 -0.02507268 -0.03618163
| 2005-11-02 -0.57346603 0.42130667
| 2005-11-03 0.79877448 -0.46956922
| 2005-11-04 1.20170199 1.05643239
| These differences seem huge to me! E.g. on 3 November, the US Fed says
| that returns were +0.798% and oanda.com says it's -0.469%.
But as you know, FX markets operate 24hrs, and are broker-based implying that
there will be a) different quotes throughout the day and no "final" one and
b) different sources may well disagree about quotes at one point [ though
arguably not by the margin you show there ]. Oanda may report London fixings
whereas the US Fed probably calls up US banks and end-of-day US time.
| What should one do? :-(
Not sure -- I am not that initimately familiar with FX markets. Go with one
convention and stick with it. Try to find an 'official' one. When I was
still working in Toronto, the official end-of-day quotes were those from the
Bank of Canada.
As for the question above, maybe time to test some Granger causality between
Oanda and the FED sources. :-)
Hoep this helps, Dirk
Statistics: The (futile) attempt to offer certainty about uncertainty.
-- Roger Koenker, 'Dictionary of Received Ideas of Statistics'
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