It Is Interesting to Note, from Victor Niederhoffer
It is interesting to note that Friday the 6th of July, the SP closed at 1351.80. And Friday the 13th July SP closed at 1351.70 . Similar proximities occurred on 2/10/2012 and 2/03/2012 at 1327.30. Headlines in the media such as Bloomberg state: "US stocks gain for week, erasing losses".
I am drawn to look at such things as rank correlations and inversions in such books as Kendall on rank correlations to study this with a view to reducing the ability of the market mistress to relieve one of funds.
Chris Tucker asks:
Is the options market in ES, SP, SPY and component stocks large enough to pin the S&P?
Anatoly Veltman writes:
Alas, it should be treated solely as market trivia, of no predictive value. I wouldn't worry about newswire's interpretation; I'd be more worried about optimized coding interpretations. How should researcher classify daily or weekly delta? E.g, is change of mere .10-.90 on SP500 trading 1350.00 = no change, or should some percentage threshold classify as a change rather than unchanged? Percent change makes more sense for longer-term (years) of studies. The levels near 666 should normalize different delta than levels near 1576. I guess that levels of interest rates might also have impact — but we've been relieved of this variable issue for a couple of years hind and hence by the true Libor fixers.
Victor Niederhoffer comments:
One is often involved in things too trivial or microscopic. Indeed that is what was said to me 50 years ago when I started counting eighths in individual stocks in my undergraduate thesis–a count that set off a field that one is told has not been entirely fruitless. Thanks for the firm guidance.
Anatoly Veltman replies:
It's interesting that 25 years ago I was taught that the less observed the security is — the better the technicals! In that regard, one-eighth 50 years ago might have been more predictive than .90 delta in e-mini today. We're in the age of battle of the black boxes, the most successful of whom manage to relieve us of funds the moment we start over-relying on a particular minor indicator.