Post Traumatic Stress in the Market

日期:2012/10/10

If post traumatic stress is so common to those who have seen their comrades killed (it used to be called battle fatigue in sociology courses), then it must exist in the market, as it represents a very prevalent human condition that should manifest itself in measurable areas rather than self pitying ones related to disability insurance et al.

One is reminded of what all of us who survived the Oct 19th, 1987 crash and many others engendered by people like the inside traders among the French banks et al, and the New Jersey Governor who didn't know that they were using customer funds. All such activities led to 4 % or more daily declines and of course 25% for the Baker crash of 87.



In any case I quantified a daily PTS event as a 3 % move up from the low of a day when the low was 3% or more below yesterday's close. I find reasonable evidence of suicidal tendencies in the market the next day to the extent of about -2/3 % with a 1/3 chance of it not happening.