Briefly Speaking, by Victor Niederhoffer
The movement of prices relative to the high and low of the day has always struck me as highly non-random. Holbrook Working had a test for the range of prices using the individual tick moves and the number of transactions — based on a simulation.
I believe the gist of the problem is more that the market moves a lot to generate trades, and the ranges are much higher than they should be considering where they end up. I also think that a test based on this ecological fact would be more to the point. I would be interested in ideas as to how to illumine this phenomenon for its relevance to natural philosophy and profits.
S P Z 6 - - S & P 5 0 0 F U T U R E
DATE OPEN HIGH LOW CLOSE
T 9/14 1326.70 1329.80 1324.70 1329.40
W 9/13 1323.40 1331.90 1322.60 1329.10
T 9/12 1313.50 1326.00 1313.30 1325.10
M 9/11 1306.10 1314.60 1302.70 1311.60
F 9/ 8 1308.90 1312.30 1306.30 1310.50
T 9/ 7 1308.70 1313.70 1304.00 1307.40
W 9/ 6 1319.70 1320.10 1312.20 1314.00
T 9/ 5 1324.30 1327.50 1321.70 1326.00
M 9/ 4
F 9/ 1 1321.10 1325.00 1318.00 1324.00
T 8/31 1317.80 1319.50 1316.00 1316.90
W 8/30 1317.00 1319.80 1315.50 1316.40
T 8/29 1315.30 1318.50 1309.50 1316.50
M 8/28 1307.70 1318.50 1307.30 1315.10