Daily price and volume study: trading windows by Frank Tarkany
This article investigates day-to-day price changes of the Dow Jones Industrial Averages (DJIA) and
New York Stock Exchange (NYSE) total volume over a 85 year period to see whether the changes are
random and/or serial independent, as is generally believed.
Using a chi-square (x2) goodness of fit statistical analysis of daily DJIA price and NYSE volume
changes, I found statistically significant trading windows in both series. The NYSE volume is serially
time dependent while the DJIA daily closing price is both non-random and serially time dependent.