I found this interesting. I’m not a futures trader (yet), but would be interested to know if this rings true to those who are.
http://www.sfomag.com/SFOWeekly/Detail. ... 573F53C983
Commodities: Longer Hrs to Widen Mkt Designed to Calm Waves
It may or may not make any difference to volatility - I doubt it will - the volatility isn't being caused by too narrow a window of session time.
I think of "the markets" as operating 24/7 and we traders just happen to drop in on them during certain exchange opening hours - so longer they are open the less likely there will be opening and closing gaps.
What we need though is the ability to parse 24/7 tick data into manageable bars - most likely based on trading volumes. CSI are not giving us that capability which is becoming more of a problem as time goes on, IMHO.
I think of "the markets" as operating 24/7 and we traders just happen to drop in on them during certain exchange opening hours - so longer they are open the less likely there will be opening and closing gaps.
What we need though is the ability to parse 24/7 tick data into manageable bars - most likely based on trading volumes. CSI are not giving us that capability which is becoming more of a problem as time goes on, IMHO.
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- Roundtable Knight
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Re: Commodities: Longer Hrs to Widen Mkt Designed to Calm Wa
All the research I have seen suggests that opening the markets for longer hours will *increase* instability. Most price moves these days are internally generated by the market, and are not a response to external events.bobsyd wrote:I found this interesting. I’m not a futures trader (yet), but would be interested to know if this rings true to those who are.
http://www.sfomag.com/SFOWeekly/Detail. ... 573F53C983
E.g. Sornette's paper on short term movements and where they come from.
http://papers.ssrn.com/sol3/papers.cfm? ... id=1998832
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- Roundtable Knight
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Re: Commodities: Longer Hrs to Widen Mkt Designed to Calm Wa
Also Robert Shiller pointed out in "Irrational Exuberance" that medium term fluctuations in stock prices have been far higher than future earnings would justify, and this has been going on basically for ever. Either we have been astonishingly lucky or markets are excessively hot-and-cold.stopsareforwimps wrote:Most price moves these days are internally generated by the market, and are not a response to external events.http://papers.ssrn.com/sol3/papers.cfm? ... id=1998832
Also Sornette's work on bubbles to me clearly shows that endogenous bubbles exist and occur frequently. [Note that the Sornette work is not tradeable, as he says and as my lost money has confirmed].
As for commodities versus stocks, these two bubbles look more alike than different to me.
http://www.itulip.com/images/goldVSnas.jpg