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Context

Context. f n. Stock Data. Market Data. 0. Price. Industry Groups. Fundamentals. Beta K Price. Beta K Price. Pass 1

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Context

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  1. Context fn Stock Data Market Data

  2. 0

  3. Price Industry Groups Fundamentals

  4. Beta K Price

  5. Beta K Price

  6. Pass 1 Collect historical volatility levels of each stock, sort stocks into bins Pass 2 Calculate mean daily price change for stocks in each bin Pass 3 Calculate two separate means price changes, one for above mean and one for below Return Final Calculation Construct piecewise linear approximation of daily price change per volatility Increasing Historical Volatility

  7. +1 Return 0 -1 Increasing Historical Volatility

  8. 0.180 GE - adjust R param 0.090 0.00435257 0.000 -0.00060 -0.00783725 -0.090 -0.180 Created with AmiBroker - advanced charting and technical analysis software. http://www.amibroker.com

  9. 0.180 GE - adjust R param 0.090 0.00611642 0.000 -0.00806698 -0.0224485 -0.090 -0.180 Created with AmiBroker - advanced charting and technical analysis software. http://www.amibroker.com

  10. 0.180 GE - adjust R param 0.090 0.0125319 0.000 -0.00839436 -0.0297501 -0.090 -0.180 Created with AmiBroker - advanced charting and technical analysis software. http://www.amibroker.com

  11. 0.180 GE - adjust R param 0.090 0.0217459 0.000 -0.00650727 -0.0334761 -0.090 -0.180 Created with AmiBroker - advanced charting and technical analysis software. http://www.amibroker.com

  12. 0.180 GE - adjust R param 0.090 0.0340311 0.000 -0.00399114 -0.0384442 -0.090 -0.180 Created with AmiBroker - advanced charting and technical analysis software. http://www.amibroker.com

  13. 0.180 GE - adjust R param 0.090 0.0493876 0.000 -0.00085 -0.0446542 -0.090 -0.180 Created with AmiBroker - advanced charting and technical analysis software. http://www.amibroker.com

  14. 0.180 GE - adjust R param 0.090 0.0647441 0.00229917 0.000 -0.0508642 -0.090 -0.180 Created with AmiBroker - advanced charting and technical analysis software. http://www.amibroker.com

  15. 0.180 GE - adjust R param 0.0923858 0.090 0.00796045 0.000 -0.0620423 -0.090 -0.180 Created with AmiBroker - advanced charting and technical analysis software. http://www.amibroker.com

  16. Close only

  17. Relative Volatility only

  18. Dollar Volume

  19. Dollar Volume + relative volatility

  20. Conclusions IFTA ‘05 ~FIN~

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