 |
 |
A stock that takes a sharp jump today may continue the jump a day later. The article shows p> 0.5 for the 1 in 500 extreme increase case. Which is to say, the driving force that propels a change applies for longer than the sampling time - 24 hrs. If this is generally true, then I expect it to apply for sampling for a shorter period - say an hour, minute, or millisecond. All we need do, then, is isolate the 'common' causes of variation from the 'special' causes, and we can understand _why_ a stock price significantly changes. More precisely in the world of stock traders, we can understand which changes are 'special' - ones we can ride for a day or two to make money. Forget this business of 'causes'! Let's look only at the effect - the stock price. Much less thinking needed. So a stock that goes up, a lot in one day, is likely to go up again the next day. I'll bet a lot of day traders feel this in their bones, and do pretty well. I'll also wager that Warren Buffet doesn't ignore the difference between common and special causes. Jay On May 27, 2013, at 1:46:16 AM, Vincent Granville wrote: > Discovered this week by a statistician. > > "This pattern was found on recent price activity for the 500 stocks that are part of the S&P 500 index. For each day between 4/24 and 5/23, I looked at companies that experienced the most extreme returns - among these 500 companies - comparing today with yesterday close. > > Then I looked at the daily performance the following day (again comparing day-to-day close prices), for companies who ranked either #1 or #500 today. Companies that ranked #1 today also experienced (on average) a boost in stock price the next day. The boost was more substantial for companies experiencing a 7.5% (or more) price increase today. And the return boost on the next day was statistically significant, and quite large. So much bigger indeed, that the total (non compound) return based..." > > Read full story at https://bit.ly/12XLSsn > > You may leave the list at any time by sending the command > > SIGNOFF allstat > > to [log in to unmask], leaving the subject line blank. Jay Warner Principal Scientist Warner Consulting, Inc. 4444 North Green Bay Road Racine, WI 53404-1216 USA Ph: 262.634.9100 email: [log in to unmask] web: www.a2q.com The A2Q Method (tm) -- What do you want to improve today? You may leave the list at any time by sending the command SIGNOFF allstat to [log in to unmask], leaving the subject line blank.