Some Consiliences, from Victor Niederhoffer
It is interesting to compare the open, high, low, and close of Nikkei and the S&P. Though separated by many miles, hours, differences in culture, economy, and currencies, they move remarkably in harmony.
Market Date Open Hi Low Close
Nikkei 1/15 8040 8155 7990 8025
S&P 1/20 839 840 797 806
The respective closing prices were the lowest in some 30 trading days for both, with the 10 year low in S&P occurring on 11/20 at 746 and the Nikkei setting a lo of 7700 on 11/20. During the month of December and January, Nikkei hit a closing high of 8760 never going above the 9000 level while the S&P had 4 days in December and 5 days in January (the first 5) above 900. The correlation between the daily changes in the S&P and the change in the dollar versus yen, over the last year has been about 70%, with hardly a contemporaneous day with the dollar down big and the S&P up, or the dollar up big with the S&P down, so one who is averse to being beleaguered or stopped out or political announcemented out in one market having the luxury of trading the other. It is interesting to see the frustration aggression hypothesis, or the dissonance consonance theory, or the round number never holds theory, or the play of running stops worked out, or what have you, manifest itself in the climactic but ephemeral breaks of the big 8 rounds.