日期:20111/10/24
One of the absurd aspects of the efficient markets work is the idea that the variance over the weekend should be 4 times as great as from an ordinary close to open , as there are approx 4 times as many hours for news to come in, and everyone knows that news is random. It gets me to thinking about the current market moves, where a new idea, doubtless engendered by flexions and those feeding information to the media has come into play. It's the headline in a European paper that moves the market a fast x % in a second . The financial times and the guardian and the average German paper are candidates. It's another one of those worthless things that are designed to part the public from their money.
Yes,I know but what is the average variation from hours to hour. And is there any tendency for the news to be biased in one direction.
Here's a count
hour big rises big declines stand dev
800 to 900 39 49 3.4
900 to 1000 83 80 4.5
1000 to 1100 91 96 4.7
1100 to 1200 48 72 3.7
1200 to 1300 23 40 2.9
1300 to 1400 31 46 3.1
1400 to 1500 47 51 3.5
1500 to 1600 67 74 4.1
1600 to 1620 7 7 1.6
Thus, we can say that the news tends to be most newsey from 9 to 1000 and 1000 to 1100, and from 1500 to 1600. ( all G.M.T) and that there is not much news around lunch time, and that bad news tends to come from 1100 to 1400.
We see a variance ratio of 2.5 between the 1000 to 1100 move and the 1200 to 1300 move , close to a 1 in 20 shot.
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