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Commodities: Longer Hrs to Widen Mkt Designed to Calm Waves
Posted: Mon Jun 18, 2012 5:36 pm
by bobsyd
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
Posted: Tue Jun 19, 2012 6:27 pm
by LeapFrog
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.
Re: Commodities: Longer Hrs to Widen Mkt Designed to Calm Wa
Posted: Tue Jun 19, 2012 7:18 pm
by stopsareforwimps
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.
E.g. Sornette's paper on short term movements and where they come from.
http://papers.ssrn.com/sol3/papers.cfm? ... id=1998832
Posted: Tue Jun 19, 2012 9:17 pm
by bobsyd
Leapfrog - agree
SAFW - 2 caveats, would agree in the case of indices, prob not in terms of individual commodities except gold, maybe silver. Also, perhaps study result is indicative of HFT?
Re: Commodities: Longer Hrs to Widen Mkt Designed to Calm Wa
Posted: Tue Jun 19, 2012 11:54 pm
by stopsareforwimps
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.
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
