An Interesting Table, from Victor Niederhoffer

2011-10-03 · Victor Niederhoffer
Original source

Here is an interesting table:

. Concurrent moves in euro and s&P  close to 8am
.             number of rises        number of declines
. euro move          in sp               in sp
. <-200                 2                     8
. -200<eur < -100      14                    63
. -100<eur < -50       29                   117
. -50 <eur < -1       158                   190
. 1< eur < 50         246                   131
. 50<eur < 100        102                    53
. 100<eur <200         60                    13
. euro > 200            6                     1

Thus there is a very high coterminous correlation between euro moves and sp moves in the same period which is particularly pronounced for moves more than 50 absolute in eur. I.e. If you knew the euro move, you would know pretty much the s and p move in the same period. ( current euro 1.3350 down 37 ). To forestall meal for a day questions, one notices no predictive properties for the future in any of these 16 categories.