More on Waiting Times

日期:2013/04/27

It is interesting to contemplate the distribution of waiting times to the next 10 day max's and 10 day min's in S&P futures since 1 1 1999.

[Ed.: an n day max is defined by {for 1 = 1 to n, c[t] > c[t-i] } i.e. the close is higher than the previous n closes]

There were 3575 trading days during this period with no drift per day, i.e. the adjusted  futures started and ended at the same level.    

Many assymmetries are evident.

The maxima occur with much greater frequency. The average waiting time to the next 10 day min or 10 day max is constant until 51 days has elapsed. The waiting time to the next 10 day minima is greater than the wait to the next day maxima  after more than 10 days have elapsed.                                                                    

I studied this because I am brushing up on my knowledge of stochastic models, reading many good books on the subject. I find the subject very refreshing and useful and it is good to keep the paper and pencil less feeble at counting.

One would point out that Mr. Tom Downing did very good work on writing this statistics program while he was employed by my firm.   Vic, chair.