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The Chairman
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(address
is not clickable)9/04/2005
Velocities & Distance, by Victor Niederhoffer
Several interrelated aspects of the distance the market has covered in short and long time intervals seem somewhat non-random and possibly predictive to me now. We’re at 1220-ish in the S&P, exactly where we were two weeks ago, six weeks ago and eight weeks ago. We've had some seemingly bad news in the last two months that most of us would have predicted would have left the market 5% to 10% lower with all the manmade and natural destruction and the price of oil above $70 a barrel. Yet -- such is life -- we have not given ground. I note a seemingly inordinate number of sudden jumps in price, such as the 15-point rise from 2 p.m. to close on Aug. 31; the 10-point drop starting 9:30 a.m. on Aug. 22, the 10-point decline starting at noon on Aug. 24, and the 10-point rise starting at 9:30 on Aug. 26.
It's so much easier to describe these things than predict, but without concentrating unduly on the meals for a day rather than the meals for a lifetime, our hallmark -- a hallmark, I might say, responsible for the somewhat elegant and uplifting aura that pervades our backdrop -- and without interfering with the terra firm of the Professor of Non-Predictive Studies, I propose a simple measure.
As of a given time, what is the maximum and minimum distance it's covered (above or below), say in the previous month, and is this nonrandom or predictive? For example, on Aug. 31, the close at 1221.4 was 27 below the Aug. 3 close of 1248 and 15 above the Aug. 26 close of 1206.
Here's a table:END OF Price Distance Below Time Distance Above Time Maximum Minimum Aug 1221 27 28 15 6 July 1237 10 1 38 25 June 1196 25 9 0 0 May 1197 4 2 28 29 April 1163 37 20 19 6 March 1184 30 28 14 2 Feb 1208 08 4 14 28 Jan 1186 24 27 16 7
The current price of 1221 is very high on the distance below maximum and time scale, comparable only to April and March in this regard.
Many fruitful queries would seem to be generated by such a counting.