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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4 Comments so far


  
    
        
  1. 
        Craig Bowles on 
        October 24, 2011        12:15 pm		 

            
    Tom Alexander has said that intraday highs and lows come in the first hour around 60% of the time (can’t remember his exact number). US markets have been trading more like Europe recently but we used to follow Asia more closely. The hourly data looks more like what would happen when we trade similar to Asia. (Asia shows an intraday decline, europe open with a gap down but bounce back setting up a strong US opening, and then US markets have an intraday downtrend. Or vice versa.) The last few weeks have been following the FTSE lead, so this is something new.

    

        
    2. 
            
  2. 
        Colleen Nistler on 
        October 24, 2011        1:06 pm		 

            
    Looking for the whereabouts of a silver trophy once in the Victor Niederhoffer collection.  It is a large silver trophy won by Worth, a race horse owned by my great grandfather HC Hallenbeck.  Do you happen to know it’s whereabouts now?  I had heard it was sold via Sotheby’s to a company in England but they were not able to give me the name.
    

    circa 1911 the domed base applied with sprays of daffodils, the curving horn-shaped handles topped by further sprays of jonquils and iris 283oz. (8801gr.) height 21 in. (53.3 cm.) The inscriptions read ‘CHAMPION TWO YEAR OLD OF 1911, PRIVATE SWEEPSTAKES, $10000.00 “WORTH” vs. “SPRITE”,’ followed by their statistics, “Won by WORTH, time 1.12 1/5, presented by Latonia Jockey Club of Kentucky, October 24th, 1911.” A second inscription records ten victories won by Worth, all in 1911. Worth, by Knight of the Thistle-Miss Hanover and owned by H.C. Hallenbeck, was a champion at 2 years old. In addition to this Private Sweepstakes, he won the Raceland Stakes and the Bashford Manor Stakes in 1911. As a 3 year old, he won the Kentucky Derby. At this period, major horse racing in the United States was illegal except in Maryland and Kentucky (information kindly communicated by Tom Gilcoyne of the National Racing Museum and Hall of Fame, Saratoga).

    

        
    3. 
            
  3. 
        vic on 
        October 25, 2011        10:00 am		 

            
    will ask around about the silver piece in London and New York Many a good piece has met the fate of speculators who didnt put an overplus in blue chip real eatste. vic

    

        
    4. 
            
  4. 
        Colleen Nistler on 
        March 16, 2013        1:18 am		 

            
    Any ideas for me as to where to begin my search for the trophy?  
    

    thanks!

    

        
    5. 
          

        



	

	


	
	
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