Daily Speculations

### The Web Site of  Victor Niederhoffer & Laurel Kenner

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

 Write to us at: (address is not clickable)

The Chairman
Victor Niederhoffer

12/06/04
10 Variations on Theme of Fibonacci and Markets, by Victor Niederhoffer

Often one is playing a game in play, life or markets where the best or worst score could come at any point . For example, during a week, Monday could be the highest price for the market, or Tuesday or Wed or Thur or Friday. Or you could be playing dice for 8 hours and you wonder exactly how likely are you to be at your maximum of wealth at the end of 4 hours? Or perhaps like Professor Pennington, the tennis playing physicist who studies individual stocks here, you're wondering what happens if you divide the Globex S and P price moves from 1 am to 930 am until 1 am into 51 10 minute intervals, exactly how likely is it to end at a minimum at 930 by chance alone? He observes that it happens fully 18% of all days In the last 7 years and wonders at this seemingly high number. Similar seeming non-randomness has been observed by the Eisenstadt student Mr. Downing who notes that Friday's max and minima in the market occur much more than they should taking account of the drift. Both the Professor and Mr. Downing appeal to simulation to find the answer. They wonder if a closed form solution is readily at hand. If you divide the Globex S and P price moves from 1 am to 930 am until 1 am into >51 10-minute intervals, exactly how likely is it to end at a minimum at 930 by chance alone?