Jul
6
The Friday Move, from Victor Niederhoffer
July 6, 2011 |
The Friday move in stocks and bonds was particularly disruptive it being the 5th rise in a row, a 60 day extreme price and the highest single day rise in a month. One wonders if such disruptive moves have any predictive value. It is relatively easy to test this in a number of ways I believe. One notes for example that the highest point change of the last 30 days has occurred 103 times since 1999 and the average % of rise 3 days later is 52% with a small negative expectation.
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