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9/19/2005
The Shape of Prices, by Victor Niederhoffer

I was thinking of the prices last week and other weeks in the S&P and other markets this morning,

Date      Day    Price
9/12      Mon    1247
9/13      Tue    1239
9/14      Wed    1235
9/15      Thu    1234

9/16      Fri    1242

and the shape of the prices in relation to the three kinds of bridges came to mind. As a first step, Monday was ranked highest of the five days, and Friday was ranked second-highest.

Note that Friday has been lowest empirically for 24% of all weeks since year-end 1995, versus a 26.5% expectation from simulation with replacement, taking account of drift, and this appears somewhat non-random.

But the general question remains. What is the best way to characterize the shape, the path, the magnitudes et al of moves within a week.

We are thinking around the court here about this and thought that it might be of general scientific and meal-ific interest.

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