An Interesting Aspect, from Victor Niederhoffer

2013-02-18 · Victor Niederhoffer
Original source

An interesting aspect of the asymmetry between big mimina and big maxima in stocks is that given that the last 20 day minimum occurred from 5 to 100 days ago, the expected duration to the next minimum is 30 days whereas the comparable for 20 day maxima is 15 days.