Oct

24

One of the absurd aspects of the efficient markets work is the idea that the variance over the weekend should be 4 times as great as from an ordinary close to open , as there are approx 4 times as many hours for news to come in, and everyone knows that news is random. It gets me to thinking about the current market moves, where a new idea, doubtless engendered by flexions and those feeding information to the media has come into play. It's the headline in a European paper that moves the market a fast x % in a second . The financial times and the guardian and the average German paper are candidates. It's another one of those worthless things that are designed to part the public from their money.

Yes,I know but what is the average variation from hours to hour. And is there any tendency for the news to be biased in one direction.


Here's a count
hour        big rises big declines    stand dev

800 to 900        39      49            3.4

900 to 1000      83      80            4.5

1000 to 1100     91      96             4.7

1100 to 1200     48      72            3.7

1200 to 1300     23        40            2.9

1300 to 1400     31      46          3.1

1400 to 1500     47      51            3.5

1500 to 1600     67        74        4.1

1600 to 1620      7        7        1.6
 

Thus, we can say that the news tends to be most newsey from 9 to 1000 and 1000 to 1100, and from 1500 to 1600. ( all G.M.T) and that there is not much news around lunch time, and that bad news tends to come from 1100 to 1400.

We see a variance ratio of 2.5 between the 1000 to 1100 move and the 1200 to 1300 move , close to a 1 in 20 shot.


	

	

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