Seasonal Trends of the Norwegian Krone04 February 2022
In this article we determine seasonal trends in changes of quotes of the Norwegian crone.
The Norwegian crone has a well-pronounced seasonality in various weeks of the year.
To determine seasonality, we will use the following criteria:
- The share of cases of unidirectional increments of daily deltas within one week for a period of at least 10 years must be higher than 53%.
- The ratio between the average value of positive daily increments and the average value of negative daily increments must comply with the direction of week-long price increments. So, this condition is met if this value is more than 1.
- The linear trend of the distribution of values of week-long deltas must have the direction towards growth of unidirectional increments.
If only all the three listed conditions are met, we can talk about seasonality of quotes of the Norwegian crone.
Historical data of quotes of the USDNOK pair.
The timeframe is 1D.
The history covers the period since December 1979 until May 2019.
The sample is 10 256 values.
For a clear vision of the detection of seasonal trends, we will introduce the consistence of our actions in the following diagrams.
Step 1. We will estimate the share of cases when quotes mostly rise or fall. Green weeks are a rise. Red weeks are a fall.
16 weeks of the year meet the 1st criterion: 4, 5, 7, 20, 22, 27, 29, 32, 34, 35, 41, 43, 46, 50, 52, 53.
Step 2. We calculate the ratio between average positive and average negative changes of quotes from the number of weeks obtained in the first step.
As the result of the 2nd step, the following 3 weeks were filtered out: 4, 35, 41.
13 weeks of the year (5, 7, 20, 22, 27, 29, 32, 34, 43, 46, 50, 52, 53) meet two of three criteria of seasonality. While weeks 5, 20, 22, 27, 32, 43, 46, 50, 53 are characterized by growth of quotes and weeks 7, 29, 34, 52 are characterized by a decline.
Now we test these weeks against the 3rd criterion of a linear trend of the distribution of week-long changes of quotes for the last 10 years.
Step 3. According to the filtration based on the last condition for selection, we obtain the following final picture of weeks with a well-pronounced seasonality.
6 weeks meet all the three conditions: 27, 34, 43, 46, 50, 53.
So, we have confirmed that there are manifestations of seasonality of quotes of the Norwegian krone.
The rate of the USDNOK currency pair is characterized by growth during the 27th, 43rd, 46th, 50th, 53rd weeks of the year and experience a decline during the 34th week.
The influence of seasonality on the Norwegian currency pair has been identified.
Detailed results are shown in the appendix: