Monday, November 21, 2011

Back to Twist

Chart: S&P500 futures close, 2011-11-21; XTB

After exactly two months, S&P500 has returned today to the level it was just before the Fed announced Operation Twist.

Sunday, November 20, 2011

Another failed test of financial data normality

Chart: Robust non-parametric runs test for tick data for LOTOS, June 2005 - October 2011

Back in May 2010, I presented a preliminary analysis of the probability of consecutive changes and conditional consecutive changes for daily closing prices for S&P500 and EURUSD.

I mentioned then some observed deviations from the random walk model, and postulated further research. I've just had an opportunity to check this behavior on intraday data for a number of stocks listed on the Warsaw Stock Exchange.

I have modified the methodology and changed some assumptions in the test procedure. Above you can see the result of the new test performed on the tick data for Grupa Lotos S.A.

Deviations from the model probability are clearly visible even when a pretty wide confidence band based on the sampled distribution probability is implied to filter out uncertain signals.

Friday, November 18, 2011

It's not HFT on the WSE yet, but...

Chart: Cumulative ticks per day for WIG20 shares, November 2000 - October 2011

The above chart shows the cumulative number of the ticks per day recorded between mid November 2000 and end of October 2011 for the shares currently constituting WIG20 index (please note that the composition of index was different before September 2011 and some of the share currently traded were not available in the past)

Clearly the frequency of registered quotes hence the trades is raising. Still, it's far from the theoretical maximum.

Let's wait what happens when the Warsaw Stock Exchange introduces a new trading platform next year...