- Stock Market Rallies and Downtrends Go Together March 25, 2020
This sounds like a contradiction in terms but strongest one-day stock market gains usually occur in downtrends. Since 1940 there have been four daily gains of more than 10% in DJIA and two of them occurred during the peak of ...
- Momentum Strategies Primary Cause of Fast Stock Market Crash March 21, 2020
Everyone who follows my blog in last ten years knows I have been a critic of naive momentum models. In my opinion, this crowded momentum space is the primary cause of the fast market crash with vertical losses in excess ...
- Overnight Crashes March 18, 2020
The bulk of the losses of U.S. stock market have occurred outside regular trading hours since this correction started. In fact, there has been significant buying by investors and traders during regular trading hours. The chart below is revealing. Article updated ...
- 8-Sigma Shock March 10, 2020
A nearly 8-sigma event rattled U.S. stock market on March 9, 2020, due to selling stampede. Charts with interesting statistics are included below. This is a histogram of S&P 500 daily returns from August 1940 to March 9, 2020: This is a ...
- Extreme Tail Events in Bond and Oil Markets March 8, 2020
Crude oil futures plunged 10% on Friday, March 6, 2020, while a rally in bond market caused TLT ETF to surge 5.2%. These are four and six sigma events, respectively. April Crude oil futures plunged 10.1%, as shown in the continuous ...
- Risk of Uncle Point or Even Total Loss March 4, 2020
Passive investors in stock market without any diversification or hedge, and even traders, are risking uncle point in equity markets in the current environment. The question is: How do you measure risk? This is the 42 million dollar question. How far can ...
- Anomaly Detection Performance on a Plus 5-Sigma Day for the Market March 3, 2020
The S&P 500 index rallied about five standard deviations, or seven mean absolute deviations, on Monday, March 2, 2020. This is how our daily quantitative anomaly detection performed. We use Norgate data with DLPAL DQ and DLPAL LS software for the ...
- Year-to-Date Performance of Dollar Neutral Equity Long/Short March 1, 2020
Dollar neutral equity long/short strategies in daily and weekly timeframes have behaved satisfactorily so far despite tail events in the stock market. The dollar neutral long/short strategies trade the top three and bottom three Dow-30 stocks in daily and weekly timeframe ...
- Six-Sigma Thunderbolt February 29, 2020
The S&P 500 index fell 15.84% from the all-time high eight days ago to the low of yesterday. This is a six-sigma thunderbolt that has hit the market. Below is the distribution of S&P 500 negative returns from high to low ...
- Stock Market 5-Sigma Event February 28, 2020
A 5-sigma left tail event has just occurred in the stock market. But it could be much worse. The 2011 correction delivered even worse performance. Usually high energy physics uses 5-sigma events to confirm new particles. The 5-sigma events in the ...
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