Nov

13

Holbrook Working on price changes

November 13, 2022 |

My work has made it clear that changes in a speculative price may profitably be regarded as arising from two classes of influence, namely disturbing influences and changes in price-relevant economic prospects; and that the disturbing influences generate chiefly negative autocorrelations among price changes, while changes in economic prospects generate positively autocorrelated price changes. The negative autocorrelations generated by disturbing influences occur at lags ranging from minutes to at least several days; changes in economic prospects generate positively autocorrelated price changes at lags within that range, and also at much longer lags.

the preceding letter was from Holbrook Working to VN on 4-11-1969. Holbrook Working, along with M. F. M. Osborne, was a giant in the speculative price arena of the 1930-1970 era.

S&P has risen a reasonable amount 6 days in a row and has gained 10% since 11-3-2022, such an event is exceedingly rare. indeed has occurred zero times since 1996. and twice above 10 big a day since 1996 is anything but random. it was slightly bullish in past.

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