Jan

6

Sun Storm with a CMEThe work by Krivelyova and Robotti on geomagnetic activity and market returns is fascinating.

They find outperformance vs buy and hold, but concede that factoring in transaction costs equates it back to buy and hold performance.

I'd be curious to hear critique of this paper or similar research (e.g. Dowling, Lucey; Kelly, Meschke).

The paper by Krivelyova and Robotti is another Atlanta Fed paper that has been discussed here in the past. When I did a followup using their data sources the only correlations that appeared significant were the Coronal Mass Emissions (CME). There did not seem to be much there for the basic sunspot and geomagnetic data. The CMEs only seem to have a Terrestrial effect when actual Solar matter is ejected and it hits us. CMEs visibly show up as auroras and radio and electrical interference. My test was only using a linear model not the somewhat more sophisticated cosine transform used by the authors. In any event neither study showed a strong effect.

Remember that a statistically significant effect is not necessarily strong enough to make money, especially after vig. Note that Golden Slacks has its own entitlement program that extracts $100 million a day in trading profits in order to do G_d's work. The rest of us contribute to that.

Chris Tucker writes:

Current space weather (read solar events) is always available at NOAA for those interested.

Jeff Watson adds:

I like Solen.info for solar activity much better than NOAA.

It seems that the sun has been quiet the past couple of years and solar activity should be picking up soon because we're supposed to be in a new cycle. Some believe this reduced activity might be part of a supercycle that the sun exhibits every 222 years or so. Needless to say, all indexes from the J index, K index to the A index all point in this direction.


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