[tech-spec] Crossposted from SpecList, with my apologies :

  • From: Steve Wisdom <swisdom@xxxxxxxxx>
  • To: tech-spec@xxxxxxxxxxxxx
  • Date: Fri, 15 Oct 2004 16:59:30 -0400

Philip J. McDonnell [mailto:pmcd8@xxxxxxxxxxx] : 

> Following are the correlations for the stock pairs before and 
> after XTF inception date.
>          last 1452d      prev 1452d
> aig:jpm 0.546448163     0.506538013
> aig:bac 0.525274399     0.465876397

Little known fact: Prof Phil used to teach `Significant Digits 101' .. . 

Anyway, to get the ball rolling, data for four [arbitrarily and
retrospectively chosen] tickers, BSC LEH MER MWD, are at

I didn't scrounge any bank stock data; too hard on my brain to track all the
mergers over time 

And here's a quickie R script that reads the data and does a 'slide show' of
pairwise daily change scatters, by year from '96 to '04.  This has only
entertainment, rather than predictive, value, but with any luck other Specs
will pick up the ball.  Or I may continue the thought on tech-spec over the
weekend .. .  

WallSt<- read.table('http://dailyspeculations.com/WallSt.txt')
str(WallSt); head(WallSt); tail(WallSt)
Chgs<- data.frame(100*apply(log(WallSt),2,diff))
Year<- as.numeric(matrix(unlist(strsplit(row.names(Chgs),'-')),3)[3,])
windows(); by(Chgs,Year,plot)

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  • » [tech-spec] Crossposted from SpecList, with my apologies :