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This attachment doesn't answer the statistical part of the question, but it
illustrates what does appear to happen on a daily basis. The divergence
time shifts somewhat each day and it appears to have something to do with
the dip in total flow rate during the NY lunch time and what the sentiment
is afterwards. One way to monitor this is simply with RSI on a price
chart. I want more information such as the flow rate of issues and volume
for confirmation. You could try just using the net adv-decl and uvol-dvol.
I kind of like to see whether things are accelerating or not. A change in
velocity should translate into a change in volatility (VIX) and it might
just help me decide what to do with an option position. For example, today
that period was a good one to take more profits in a multicontract put
position.
BobR
At 02:28 PM 10/23/97 -0700, Marcelo Martinez wrote:
>> just after 1:30 PM EST the market makes a major move up or down... Then it
>> generally continues until about 3:30PM est which is put of or shut up time.
>
>Don:
>
>I have always been interested by the "possible" fact that intraday the
>market has a change between 1 - 2 pm EST . From what little I have seen
>it usually hits a bottom. Is this true ? and what is the percentage of
>occurrence of this fact ?
>
>Marcelo
>
Attachment Converted: "c:\eudora\attach\TP1023a.gif"
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