V.5:11 (374-376): Price/Volume Cross-Correlations in the DJIA by Frank Tarkany
Product Description
Price/Volume Cross-Correlations in the DJIA by Frank Tarkany
This article examines the use of a Price Percent Filter (PPF) on daily Dow Jones Industrial Average (DJIA) closing prices from January 2, 1897 to January 2, 1987. Price changes from the filter are cross-correlated with their corresponding New York Stock Exchange (NYSE) total volume changes. The correlation coefficient and chi-square statistics results from June 13, 1949 to January 2, 1987 indicate good price/volume cross-correlations.
Analysis
A Price Percent Filter selects dates when the percentageof price change from a previous peak or low exceeds a threshold value. In this study a computer was used to find when a price change equals or exceeds the PPF in the opposite direction of the preceding PPF change. The date, DJIA price, and NYSE total volume were tabulated onto a computer file for subsequent analysis.
This article examines the use of a Price Percent Filter (PPF) on daily Dow Jones Industrial Average (DJIA) closing prices from January 2, 1897 to January 2, 1987. Price changes from the filter are cross-correlated with their corresponding New York Stock Exchange (NYSE) total volume changes. The correlation coefficient and chi-square statistics results from June 13, 1949 to January 2, 1987 indicate good price/volume cross-correlations.
Analysis
A Price Percent Filter selects dates when the percentageof price change from a previous peak or low exceeds a threshold value. In this study a computer was used to find when a price change equals or exceeds the PPF in the opposite direction of the preceding PPF change. The date, DJIA price, and NYSE total volume were tabulated onto a computer file for subsequent analysis.
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