One is Firmly Convinced

日期:2014/01/26

One is firmly convinced that the quantitative approach can add much info during crises and during non crises. I have posed 50 queries to the world of statistics about the current decline, and the answers to me appear helpful. For example, Mr. Vince asked if there is dependency in the durations or waiting times until big declines. An answer from this century after 105 trading days when the market had shown a daily change -5000 < market < -30 point the average duration to the next decline of more than 30 points was 37 days. The average duration goes up continuously. When 10 days have elapsed without a 30 point daily decline, the duration to the next one is 57 days. There were 53 occurrences when exactly 10 days had elapsed without a 30 point daily decline after a 30 point daily decline, the chances of a 30 point decline the next day, called the hazard rate, i.e. the chance of dying in medical terms is 9/107. The hazard rate falls to 3.5 % after 10 days have elapsed without such a decline. Thus, we answer Mr. Vince's query.