V.4:8 (295-297): Weekly price and volume by Frank Tarkany
Product Description
Weekly price and volume by Frank Tarkany
The daily DJIA closing price and NYSE total volume from January 2, 1897 to December 31, 1985 were used to construct a weekly data series. The week's closing price and total volume contained 4,623 data pairs, about 18.65 percent of the original daily data series. This weekly data series was then investigated for non-random and serial dependent trading windows with an eye to comparing the results to those from the daily data.
Figures 1, 2, 3, and 4 show the weekly non-random and serial dependent chi-square x2 values for the DJIA weekly closing price and total NYSE volume from 1897 to 1985. Both the average chi-square value and the lowest chi-square value are shown for each lag which is plotted here in weeks. The 95 percent and 99 percent confidence level chi-square values are indicated to facilitate inspection.
The daily DJIA closing price and NYSE total volume from January 2, 1897 to December 31, 1985 were used to construct a weekly data series. The week's closing price and total volume contained 4,623 data pairs, about 18.65 percent of the original daily data series. This weekly data series was then investigated for non-random and serial dependent trading windows with an eye to comparing the results to those from the daily data.
Figures 1, 2, 3, and 4 show the weekly non-random and serial dependent chi-square x2 values for the DJIA weekly closing price and total NYSE volume from 1897 to 1985. Both the average chi-square value and the lowest chi-square value are shown for each lag which is plotted here in weeks. The 95 percent and 99 percent confidence level chi-square values are indicated to facilitate inspection.
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