It is Interesting to Consider, from Victor Niederhoffer
It is interesting to consider the standard deviation of the daily change each day of the week from the preceding close to the day 2007-present. While we're at it a daily algbrc change also.
day of week stand deviation av algbrc change
Monday 16 -0.4
tue 17 1.2
wed 16.5 0.0
thur 17 1.0
fri 15 -0.3
The changes listed — Monday is the change from Friday close to m on close. Etc.
Comments
AW on March 27, 2016 10:48 am
Beginning with last two weeks pattern and ending with the last five weeks patterns this is the down vs uprate for this coming week based on data from 2000 to present:
PATTERN OCCURENCES UP RATE DOWN RATE
0 LHLL 274 58% 42%
1 HHHLLHLL 97 69% 31%
2 HHHLHHHLLHLL 53 70% 30%
3 HHHLHHHLHHHLLHLL 27 74% 26%
Arch Stanton on March 29, 2016 8:37 am
I ran this and got very similar numbers, except for Monday, which is, as you’d expect a priori, the highest σ of the week.
Std_Dev
Mon 17.4
Tue 16.9
Wed 16.6
Thu 17.1
Fri 15.3
The difference may have to do with holidays or partial days.