It is Interesting to Consider

日期:2014/05/22

It is interesting to consider to what extent there are more or less two day moves in the same direction between markets. For example, the two day move in crude has been up on 9 consecutive days. How frequent is it, relative to other markets, taking account of the drift in markets. Is it predictive of anything in the future? Is it consistent with randomness. e.g. number of occasions that the two day move close to close was up versus down on two consecutive occasions.





2009 - present

market      up         down                                                  

crude      487          421

spu        558          342          

bonds     469           407          

gold      509           397          

euro      483           407                                                  

yen       442           463

etc