A Variable to Remember
3/21/2005
Victor Niederhoffer: A Good Thing to
Consider
A good thing to consider for descriptive and predictive purposes is how far the current price of a market or stock is from the highest and lowest price it has touched in the previous 20 days:
| MARKET | % BELOW HIGH | % ABOVE LOW |
|---|---|---|
| S&P | 3.0 | 0.6 |
| NAS | 4.5 | 0.2 |
| BUND | 1.0 | 0.6 |
| CRUDE | 1.5 | 19.0 |
| EURO | 1.0 | 2.0 |
| GOLD | 1.5 | 3.0 |
| DAX | 2.5 | 1.0 |
| VIX | 0.5 | 18.0 |
| NAT.GAS | 1.5 | 23.0 |
| COPPER | 1.0 | 4.0 |
Such variables have been used effectively for study of bubbles. But they are by no means limited to this agrarian pursuit.