Some Numerical Queries, by Victor Niederhoffer

November 7, 2006 |

The recent S&P moves relative to open, high, and low cry out for description and prediction.

S&P Futs  Day   Open    High      Low     Close

20-Oct-06   Fri   1374.5  1375.5  1369.8  1374.9

23-Oct-06   Mon   1371.6  1384.2  1370.1  1380.7

24-Oct-06   Tue   1379.0  1385.3  1378.2  1384.8

25-Oct-06   Wed   1383.0  1389.5  1381.4  1389.2

26-Oct-06   Thr   1392.0  1395.2  1385.0  1392.9

27-Oct-06   Fri   1391.0  1392.2  1381.2  1384.8

30-Oct-06   Mon   1381.3  1386.8  1378.9  1383.2

31-Oct-06   Tue   1385.3  1387.1  1377.1  1383.2

01-Nov-06   Wed   1386.1  1386.9  1370.9  1372.9

02-Nov-06   Thr   1368.8  1373.5  1367.3  1371.3

03-Nov-06   Fri   1375.8  1377.2  1365.6  1368.5

06-Nov-06   Mon   1372.8  1386.3  1372.6  1383.8

07-Nov-06   Tue   1385.0  1391.7  1383.3  1391.0

A run of six lower lows in a row was broken on Monday.
A run of six days without a rise was broken.
The high on Monday was below but within 1 point of three highs of the previous week.
The change at the open on Monday was within a quarter point of the change on the previous day.
Two up opens in a row more than four occurred in conjunction.
Hopes were dashed on Friday when a nice up open was followed by a move down of 12 points.
Wednesday of the previous week the high-low range was 16 points and Friday the high-low range was 12 points but the other three days the range was below 10.
A string of six weeks up in a row was broken last Friday with a down week, giving the bears hope.
The volume on Tuesday end of month was 50% higher than the average for the other days in conjunction with an unchanged day.
The low on Monday was just a quarter point below the open and the high last Friday was just 1 point below the open. Similar low maximum within day moves above open occurred on 10/27, 10/31, and 11/03.

Many queries as to randomness, predictability, and further observations and hypotheses arise.

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