Daily Speculations

The Web Site of Victor Niederhoffer and Laurel Kenner

Dedicated to the scientific method, free markets, ballyhoo deflation, value creation, and laughter. A forum for us to use our meager abilities to make the world of specinvestments a better place

 

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The Chairman
Victor Niederhoffer

3/21/2005
Victor Niederhoffer: A Good Thing to Consider

A good thing to consider for descriptive and predictive purposes is how far the current price of a market or stock is from the highest and lowest price it has touched in the previous 20 days:

MARKET% BELOW HIGH% ABOVE LOW
S&P 3.0 0.6
NAS 4.5 0.2
BUND 1.0 0.6
CRUDE 1.5 19.0
EURO 1.0 2.0
GOLD 1.5 3.0
DAX 2.5 1.0
VIX 0.5 18.0
NAT.GAS 1.5 23.0
COPPER 1.0 4.0

Such variables have been used effectively for study of bubbles. But they are by no means limited to this agrarian pursuit.