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an IT engineer have persistent interest in commodities.
  • my experiment on volume-price relation in bear market 0 comments
    May 12, 2010 10:13 PM

    I'm ready to do an experiment mainly anazlyzing the volume-price relation,
    But the purpose may be a little different as the past.
    I'm trying to discern this phenomenon:
    on Date T, stock SHA's volume increased by 2 times than last day and price increased accordingly.
    In the following 5 trading days,stock SHA's price may continue rise or fall remarkably.
    why this happened ?

    my experimental steps:

     I.          test of the volume-price relation during bear market

    test data from china’s stock market (shenzhen and shanghai both);

    data samples:
    only sample the records during this period (from 2009-8-1 to 2009-10-1


    the chinese stock market jumped sharply during this sample period.

    The  shanghai composite index drops from around 3470 to around 2650;

    So,I think it’s a good sample for bear market.

    II.                 volume increase candidates;

    select those records whose volume amount is 2 times bigger than the last day;

    their later performance differentiated remarkably,part of their price rise amazingly while

    part of their price fall desperately;I focus only on the good performance ones and try to analyze why   
    they  vary from others
    gaining a better price even during the bear market;

    III.               data collecting and extracting :using my own program to fetch data from internet and process them on local computer.
    The generated data are stored in an excel document named vol_bearmarket.xls;

    IV.               furthere research will be done on this data file;
    primarily usual data mining algorithms.

    V.                 the conclusion of the analysis will be published in the near future;

    what variables I have to collect ?
    now,I already collect nearly all the possible number datas.
    open price,close price,high price,low price;
    transaction numbers between certain money amount( under 1millon, between 1-5 million.......);
    the details of transactions during each trading time .(9:30-10;30........);
    news data:
    the news of each listed company ;
    the structure of shareholders;

    But I wonder what else I need to take into considerations?
    any suggestions?
    which variables may be more significant than others?
    your past experience may tell the answer.

    I need your suggestions because I know the pure quantitative method
    may be futile, some subjective factors need to be taken into account .

    thanks for all of your advice from the bottom of my heart!

    you can directly send an e-mail to me.

    Disclosure: none
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