Forum Archive Index - September 2003

["david.gibson" <david.gibson@k.co.nz>]

I have been thinking about the point you raised in you email:

 Dow Jones stocks have huge capitalisation trading volumes. I could be argued that small-mid cap stocks have different characteristics to Dow Jones stocks. Any comments? 

 

The predominant acedemic view in the 80's and early 90's was that the stockmarket obeyed "the law of large numbers" and that stock time series were a "random walk" phenomenon based on the "efficient market" theories.

 

My personal view is that these assumptions are false.

 

Conventional models based on the assumption of zero autocorrelation of stock trajectories  are clearly false - yet this is the dominant view in the acedemic literature.

 

The problem is that the "herding" and other psychological effects that drive the short term market are not based on "linear" processes (this includes periodic "cycles").  The effects are non-linear and will require a new statistical modelling technique to be developed.

 

[D Vidal has a number of very useful links on this topic].

 

Finally, getting back to your question - based on the above - my conjecture is that small cap / large cap obey the same basic psychologically driven laws.  I would expect the same types of models would apply to either capitalisation.

 

Best Rgds

/dbg

 

----- Original Message -----

From: david.gibson

To: sharechat@sharechat.co.nz

Sent: Thursday, September 18, 2003 2:23 PM

Subject: [sharechat] On-balance-volume

I performed a number of stepwise multiple regression studies in the mid 80's on a 20 year database of selected Dow Jones stocks.  I attempted to correlate on-balance-volume with future stock and index price trends and Box-Jenkins smoothed moving averages of the same.

 

At the level of mid to long term price prediction - came up with no significant correlation.

 

The indicator was extremely fashionable, in the US, in the early 80's - don't know how it is used these days.

 

Best Rgds

David

-----Original Message-----
From: sharechat-owner@sharechat.co.nz [mailto:sharechat-owner@sharechat.co.nz]On Behalf Of seconds
Sent: Thursday, 18 September 2003 13:55
To: sharechat@sharechat.co.nz
Subject: Re: [sharechat] INL.ASX - what is going on here

whats wrong with OBV?

----- Original Message -----

From: david.gibson

To: sharechat@sharechat.co.nz

Sent: Thursday, September 18, 2003 1:46 PM

Subject: [sharechat] INL.ASX - what is going on here

Cris recommended Intec on the ASX a month or so, ago.  (INL.ASX)

 

Looks like someone is making a move here - price moving up on volume.  NB Please do not confuse me for an on-balance-volume fan =/

 

Anyone know what is going on here?