Herding, from Jim Sogi

March 18, 2008 |

The recent order flow and price action seems so lopsided from day to day with up volume or down volume totally dominating on one side or the other recently.

This is an example of herding. Today NYSE up volume is 121m and down vol is 76k. Look at the stem chart of the closes and notice how they bunch at the hi/lo of the day. Chair and Larry studied this before. This is additional evidence of the trending hypothesis mentioned before. This seems to be related in some unknown and as yet unstudied way to predict the big gaps.

The decimal point is 1 digit(s) to the left of the |

Random action would create more equal boxes.





Speak your mind

2 Comments so far

  1. Nicolas Chapados on March 19, 2008 11:20 pm

    Jim, could you provide a reference to that study by Chair and Larry that you cite? I tried some obvious Googling, but to no avail.

  2. James Sogi on March 20, 2008 12:26 pm

    >Nicolas Chapados on March 19, 2008 11:20 pm:
    > Jim, could you provide a reference to that study by Chair and Larry?

    From our esteemed friend, author and trader, Larry Williams.

    From Wikipedia, the free encyclopedia :

    Williams %R, or just %R, is a technical analysis oscillator showing the current closing price in relation to the high and low of the past N days (for a given N). It was developed by trader and author Larry Williams and is normally used just in the stock market.

    \%R = { close_{today} - high_{Ndays} \over high_{Ndays} -low_{Ndays} } \times 100

    Practical Speculation by Victor Niederhoffer, and Laurel Kenner

    Lequeux, Financial Markets Tick by Tick.


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