context stock data market data fnfn. 0 industry groupsfundamentalsprice
TRANSCRIPT
Context
Stock Data
Market Data
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turn Industry Groups FundamentalsPrice
Volatility
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Volatility
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Volatility
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Volatility
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Volatility
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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
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
0.575
0.675
0.775
0.875
0.975
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
0.015
0.035
0.055
0.075
0.095
0.115
0.6
0.8
1
1.2
0%
5%
10%
15%
20%
25%
30%
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
Ret
urn
+1
0
-1
Increasing Historical Volatility
0%
5%
10%
15%
20%
25%
30%
0%
5%
10%
15%
20%
25%
30%
-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
-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
-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
-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
-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
-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
-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
-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
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
-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
-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
-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
10
30
50
70
90
large med.large med.small small
Close only
10
30
50
70
90
large med.large med.small small
Relative Volatility only
10
30
50
70
90
large med.large med.small small
Dollar Volume
10
30
50
70
90
large med.large med.small small
Dollar Volume + relative volatility
Conclusions
IFTA ‘05
~FIN~