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Bob,
To me the gap up is explained by the statistical implication of the close of
the previous day. In my work the next day showed an
extraordinary tendancy to gap up and make a higher high. When ever I see
one of those it is a 99 percenter....
this is a better indication than looking at sd of ranges.
Don Thompson
Subject: [RT] Greenspan's announcement 2
> Another curious event:
>
> The foreign markets, which were trading overnight our time and closed
> before the open in NY, were all up by what seems to me to be extraordinary
> amounts, long before the announcement. I don't have the data, but someone
> who does might compute the sd of daily price change for these markets and
> see if the jumps were all two or more sd's.in size. And of course there
> was the S&P big gap open up, in spite of the bad news from Intel.
>
> If anyone is interested, another instance of the markets foreseeing a
> dramatic event is described in Heath and Pisani, An Index of Market
> Activity, published in the Proceedings of the Sixth National Conference on
> Gambling and Risk Taking.
>
> Something is going on that is not explained.
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