tag:blogger.com,1999:blog-19505137.post111481315755791139..comments2016-08-14T03:34:09.589-05:00Comments on TraderFeed: Historical Market Queries and What We Can Learn From ThemBrett Steenbarger, Ph.D.http://www.blogger.com/profile/11988667917563876202noreply@blogger.comBlogger3125tag:blogger.com,1999:blog-19505137.post-3356047725933848262014-08-04T07:30:35.170-05:002014-08-04T07:30:35.170-05:00thanks Dr Brett. Would you include time in this? ...thanks Dr Brett. Would you include time in this? I suppose you would as along with volume and volatility time passing is also new information. <br /><br />I suppose its similar to how sports teams odds move in game. If the favourite starts at just short of evens but by half time the game is still a draw, the favourite will most likely have drifted out to above evens (all things still being equal). Unknownhttps://www.blogger.com/profile/02435292073519548432noreply@blogger.comtag:blogger.com,1999:blog-19505137.post-76430567359436992172014-08-04T07:12:47.163-05:002014-08-04T07:12:47.163-05:00Great question, Paul. I think its very important ...Great question, Paul. I think its very important to take a Bayesian mindset to the data and update the odds of hitting targets as a function of most recent observations. This becomes especially relevant if intraday events lead to volume and volatility expanding or contracting significantly.<br /><br />BrettBrett Steenbarger, Ph.D.https://www.blogger.com/profile/11988667917563876202noreply@blogger.comtag:blogger.com,1999:blog-19505137.post-91048487471659193732014-08-04T06:50:00.250-05:002014-08-04T06:50:00.250-05:00Hi Dr Brett,
Hope you are well
I've been doi...Hi Dr Brett,<br /><br />Hope you are well<br /><br />I've been doing some intra-day analysis on % chance of hitting different targets and had a question I hope you can help me with. <br /><br />If yesterday closes in the top 1/4 of the range and today open's in range and in the top 1/4 of yesterday’s range (n=326) there is an 80% chance (N=265) we hit yesterday’s high at some point during the day. <br />However, if we haven’t taken this out after the first hour of trade (n= 182), these odds decrease to 66% (n=121) and they decrease the further through the day we go. So my question is, how much weight would you give to the original stat of 80%? Or would you say the evolving stats carry more weight? I would imagine the evolving stats are now more important, but wanted to get your opinion as I very rarely see these types of stats quoted. It’s always something like “we have a 80% chance of the Gap closing today”, but that doesn't make sense to me as the day progresses.<br /><br />(these stats are for the Bund by the way)<br /><br />Hope that makes sense and you can shed some light on this for me.?<br /><br />Thanks<br /><br />PaulUnknownhttps://www.blogger.com/profile/02435292073519548432noreply@blogger.com