context stock data market data fnfn. 0 industry groupsfundamentalsprice
TRANSCRIPT
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Context
Stock Data
Market Data
fn
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Re
turn 0
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Re
turn
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Re
turn Industry Groups FundamentalsPrice
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Volatility
Re
turn
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Volatility
Re
turn
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Volatility
Re
turn
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Volatility
Re
turn
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Volatility
Re
turn
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Beta K Price
-0.2000
0.0000
0.2000
0.4000
0.6000
0.8000
1.0000
1.2000
1.4000
1 2 3 4 5 6 7
-0.2000
0.0000
0.2000
0.4000
0.6000
0.8000
1.0000
1.2000
1.4000
1 2 3 4 5 6 7
-0.2000
0.0000
0.2000
0.4000
0.6000
0.8000
1.0000
1.2000
1.4000
1 2 3 4 5 6 7
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Beta K Price
-3.0000
-2.5000
-2.0000
-1.5000
-1.0000
-0.5000
0.0000
0.5000
1.0000
20 30 50 100 150 250 350
-3.0000
-2.5000
-2.0000
-1.5000
-1.0000
-0.5000
0.0000
0.5000
1.0000
20 30 50 100 150 250 350
-3.0000
-2.5000
-2.0000
-1.5000
-1.0000
-0.5000
0.0000
0.5000
1.0000
20 30 50 100 150 250 350
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0.575
0.675
0.775
0.875
0.975
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12/1
0/20
03
1/10
/200
4
2/10
/200
4
3/10
/200
4
4/10
/200
4
5/10
/200
4
6/10
/200
4
7/10
/200
4
8/10
/200
4
9/10
/200
4
10/1
0/20
04
11/1
0/20
04
12/1
0/20
04
1/10
/200
5
2/10
/200
5
S&P500
LowK
hiK
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0.015
0.035
0.055
0.075
0.095
0.115
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0.6
0.8
1
1.2
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0%
5%
10%
15%
20%
25%
30%
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Ret
urn
Increasing Historical Volatility
Pass 1
Collect historical volatility levels of each stock, sort stocks into bins
Pass 2
Calculate mean daily price change for stocks in each
binPass 3
Calculate two separate means
price changes, one for above mean
and one for belowFinal Calculation
Construct piecewise linear approximation of
daily price change per volatility
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Ret
urn
+1
0
-1
Increasing Historical Volatility
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0%
5%
10%
15%
20%
25%
30%
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0%
5%
10%
15%
20%
25%
30%
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-0.180
-0.090
0.000
0.090
0.180GE - adjust R param
-0.00060 -0.00783725
0.00435257
Created with AmiBroker - advanced charting and technical analysis software. http://www.amibroker.com
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-0.180
-0.090
0.000
0.090
0.180GE - adjust R param
-0.00806698
-0.0224485
0.00611642
Created with AmiBroker - advanced charting and technical analysis software. http://www.amibroker.com
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-0.180
-0.090
0.000
0.090
0.180GE - adjust R param
-0.00839436
-0.0297501
0.0125319
Created with AmiBroker - advanced charting and technical analysis software. http://www.amibroker.com
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-0.180
-0.090
0.000
0.090
0.180GE - adjust R param
-0.00650727
-0.0334761
0.0217459
Created with AmiBroker - advanced charting and technical analysis software. http://www.amibroker.com
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-0.180
-0.090
0.000
0.090
0.180GE - adjust R param
-0.00399114
-0.0384442
0.0340311
Created with AmiBroker - advanced charting and technical analysis software. http://www.amibroker.com
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-0.180
-0.090
0.000
0.090
0.180GE - adjust R param
-0.00085
-0.0446542
0.0493876
Created with AmiBroker - advanced charting and technical analysis software. http://www.amibroker.com
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-0.180
-0.090
0.000
0.090
0.180GE - adjust R param
0.00229917
-0.0508642
0.0647441
Created with AmiBroker - advanced charting and technical analysis software. http://www.amibroker.com
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-0.180
-0.090
0.000
0.090
0.180GE - adjust R param
0.00796045
-0.0620423
0.0923858
Created with AmiBroker - advanced charting and technical analysis software. http://www.amibroker.com
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30-March-2005
Leaders in Price Performance
Jewelry & Silverware 3.96% 22 Airline 20.7
Non-Metallic Mining 3.58% 66 Retail (Technology) 12
Airline 2.81% 1 Retail (Drugs) 9.6
Computer Storage Devices 2.74% 11 Insurance (Accident & Health) 8.8
Computer Networks 2.64% 27 Water Utilities 8.6
Insurance (Accident & Health) 2.55% 4 Forestry & Wood Products 8.4
Schools 2.44% 72 Semiconductors 7.3
Metal Mining 2.36% 19 Advertising 7.2
Personal & Household Products 2.14% 10 Major Drugs 6.9
Communications Equipment 2.10% 18 Personal & Household Prods. 6.3
Laggards in Price Performance
Office Supplies 0.55% 30 Water Transportation -7.8
Tires 0.44% 13 Mobile Homes & RVs -8
Waste Management Services 0.31% 90 Retail (Grocery) -8.1
Furniture & Fixtures 0.27% 99 Oil Well Services & Equipment -8.4
Fabricated Plastic & Rubber 0.18% 49 Apparel/Accessories -9
Crops 0.17% 100 Recreational Activities -9.1
Construction - Raw Materials 0.09% 102 Furniture & Fixtures -9.8
Fish/Livestock -0.01% 62 Crops -10
Insurance (Prop. & Casualty) -0.05% 89 Trucking -10.7
Scientific & Technical Instr. -1.38% 86 Construction - Raw Materials -11.3
Yahoo!Finance Industry Classifications
102 Industries total
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-5.0
0.0
5.0
10.0
15.0GMR - Oil & Gas Operations = 11.35
12.456
11.3487
12.72
Created with AmiBroker - advanced charting and technical analysis software. http://www.amibroker.com
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-5.0
0.0
5.0
10.0
15.0GMR - Office Equipment = -0.36
-0.410207 -0.468541
-0.364103
Created with AmiBroker - advanced charting and technical analysis software. http://www.amibroker.com
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-5.0
0.0
5.0
10.0
15.0GMR - Computer Networks = -0.43
-0.475378 -0.521451
-0.425806
Created with AmiBroker - advanced charting and technical analysis software. http://www.amibroker.com
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10
30
50
70
90
large med.large med.small small
Close only
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10
30
50
70
90
large med.large med.small small
Relative Volatility only
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10
30
50
70
90
large med.large med.small small
Dollar Volume
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10
30
50
70
90
large med.large med.small small
Dollar Volume + relative volatility
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Conclusions
IFTA ‘05
~FIN~