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.

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7/20/04
Victor Niederhoffer: A Contest of Extremes

During the summer, many higher species in the market feeding chain do not have the usual picking from those below because of lower trading volume and vacations. I hypothesize that they like big moves in the summer, these being necessary to provide liquidation and losses and squeezes and margin calls. As their profits get bigger near the end of week, their buying power increases and there is no one to go against. Thus, I hypothesize that during the summer x day highs and x day lows as of the Friday close tend to occur with inordinate frequency. Furthermore that when prices hover near a previous extreme they are drawn as if by gravity or magnetism to break through.

I will offer a reward of $500 to the contributor and or the charity of his choice best submission on this general theme. Your answer may be empirical, with comparisons to the Gumbel distribution of extremes or not, and even predictive .e.g. the plethora or extremes last Friday. Entries are due by 7-26-04 and all winners will be posted on this list for general deflation of ballyhoo.