Aug
25
Distribution of Absolute Value of Half Hourly Changes for S&P Futures, from Victor Niederhoffer
August 25, 2008 |
The recent distribution is as follows:
. 8 22 8 21 8 20 8 19 8 18 . 10 + 7.5 - 10.0 1 5.0 - 7.5 5 1 2.5 - 5.0 5 2 5 2 3 . 0 - 2.5 9 11 4 12 9
The distribution of changes has many interesting implications. But to me it highlights the aburdity of going down a googol on PPI and up a googol on Bernanke's comments that inflation numbers should be better in the future.
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So sell it on the way down and buy it on the way up.