Euro to USD historical analysis

Posted: 03/04/2011 in Programming, Stock trading
Tags: , , , , , , , , , , ,

Euro, the currency used by 17 European countries, has made a record vs USD the green buck this week. It is being traded now at the rate of 1.4235$.

Wondering what is the most common value for the euro, I decided to do this small analysis. The aim is to find at which rate the euro has been traded the most in the past years. Here is my work:

Currency: eur/usd
Data end: 02 April 2011
Number of points: 2000
Time interval: 1 day
Date output format: d/m/y
Here is the csv file I get: Q1_1D_2000
Then I did the same thing but with data ending at 20 August 2003, I get this file: Q1_1D_2000 (1)
So this study will be about the history of the Euro from 03 November 1997 till 03 April 2011 (14 years)

  • Next step was to create 2 files one for the minimum per day and the other for the maximum per day, here are these two files: min and max
  • Knowing that the very minimum of the euro during the last 14 years is 0.8229 and the very maximum is 1.6041, which means a difference of 0.7812, I have decided to create an array of 9000 integers to count the number of occurrence of each value from 0.8 to 1.7 with a resolution of 0.0001 ( Integer 0 represent the rate of 0.8, integer 1 represents 0.8001, integer 2 for 0.8002 and so on till integer 8999 which represents the rate of 1.6999)
  • Let’s explain what I did next through an example: At 03/12/2003 the minimum was 1.2064 the maximum during that day was 1.2129, I supposed that the euro varied uniformly from the minimum to the maximum that day, so that for each counter from 1.2064 (Integer number 4064) till 1.2129 (Integer number 4129) I add 1.
  • Programming this in C#, here is the core of the code:

double[] min = File.ReadAllLines(“min.txt”).SelectMany(s => s.Split(‘ ‘)).Select(s => double.Parse(s)).ToArray();
double[] max = File.ReadAllLines(“max.txt”).SelectMany(s => s.Split(‘ ‘)).Select(s => double.Parse(s)).ToArray();

int[] points = new int[9000];
int[] diff=new int[700];
int i,j;
for (i = 0; i < min.Length; i++)
{
for(j=(int)(min[i] * 10000)-8000;j<=(int)(max[i] * 10000)-8000;j++)                    points[j]++;
diff[(int)(max[i] * 10000) – (int)(min[i] * 10000)]++;
}

  • The results are then written, I have organised them into an Excel file, here it is:  Results from 1997

Number of occurrence of each rate of the Eur/USD in the last 14 years

Euro USD distribution per category of 0.1

EUR USD Cumulative frequency in %

Facts from 1997 till 2011:

  1. Rate of 1.2799 is the one with the maximum number of occurrences of 141
  2. The category of 1.2-1.3 is the most probable one, taken to 0.01 resolution the category of 1.27 is the most probable one
  3. 50% of time euro was less than  1.235 and 50% of the time more than this value
  4. The arithmetic average of the euro taking in consideration the counters is 1.215
  5. The widest difference between a maximum and a minimum in 1 day is 0.0555, the most probable difference in one day between the maximum and the minimum is 0.0095

Now this study gives a wide vision of the euro over the last 14 years, it is not accurate because not all the countries were in euro zone all the time, to narrow the study down, I repeat it just over the last 5 years (from 1/1/2006 till now).

Here is the new results from 1/1/2006 till now: Results 2006

Number of occurrence of each rate of the Eur/USD from 1/1/2006

Euro USD distribution per category of 0.1

Facts from 2006 till 2011:

  1. Rate of 1.2819  is the one with the maximum number of occurrences of 116
  2. The category of 1.3-1.4 is the most probable one, taken to 0.01 resolution the category of 1.27 is the most probable one
  3. 50% of time euro was less than  1.358 and 50% of the time more than this value
  4. The arithmetic average of the euro taking in consideration the counters is 1.369
  5. The widest difference between a maximum and a minimum in 1 day is 0.0555, the most probable difference in one day between the maximum and the minimum is 0.0106
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Comments
  1. Tom Baker says:

    Good afternoon! Dropped in to let you know your poem is featured today in Poetic License. Thank you again for allowing me to share it!

  2. […] a previous post, I explained about a methodology I use to check the current position of the Euro value against the […]

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