V.4:7 (261-266): Daily price and volume study: trading windows by Frank Tarkany

V.4:7 (261-266): Daily price and volume study: trading windows by Frank Tarkany
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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.




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