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Nasser Khraishi
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I hold a PhD in Electrical Engineering (Control Theory) from Stanford University and a Masters Degree in Engineering-Economic Systems (now called Management Science and Engineering at Stanford). I have been fascinated by the stock market since I was 14 (that is 37 years ago at writing). It has... More
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Quantitative Finance
  • Trading Day - Revisited 0 comments
    Aug 12, 2013 10:30 AM

    In this article we follow up on the discussion we had on the concept of a trading day. The following table represents the Day-of-Week analysis for close-to-close average daily log returns (in percent).

    Note that for TNX and TYX, negative return on the interest rate means positive bond price movement and vice versa.

     

     

                  
    Symbols Buy/Sell Day of Week Average One Day Log Returns (Close to Close) 
    SellBuyBest SellBest BuyOverallF-MM-TuTu-WW-ThTh-F 
    spy  M, T, W, T, F M 0.034%0.045%0.071%0.029%0.008%0.016% 
    dia ThM, Tu, W, FThM 0.026%0.044%0.058%0.021%0.018%-0.010% 
    qqq M, ThTu, W, FThW 0.013%0.000%-0.023%0.021%0.120%-0.054% 
    gld W, FM, T, ThWTh 0.048%-0.006%0.012%0.081%-0.018%0.166% 
    tnx Tu, W, ThM, FThF -0.020%-0.068%-0.062%0.005%0.000%0.022% 
    tyx Tu, WM, Th, FTuM -0.014%-0.042%-0.048%0.028%0.018%-0.029% 
                  

    For my current trading set, we obtained the following results.

     

     

                  
    Symbols Buy/Sell Day of Week Average One Day Log Returns (Close to Close) 
    SellBuyBest SellBest BuyOverallF-MM-TuTu-WW-ThTh-F 
    t M, W, FTu, ThTuF 0.033%0.127%0.028%-0.053%0.079%-0.007% 
    vz  M, T, W, T, F F 0.030%0.076%0.005%0.010%0.013%0.048% 
    gps ThM, T, W, FThW 0.055%0.045%0.042%0.086%0.144%-0.044% 
    anf M, FT, W, ThMTu 0.039%-0.061%-0.066%0.268%0.037%0.007% 
    dis FM, T, W, ThFM 0.040%-0.043%0.080%0.068%0.020%0.071% 
    ba FM, T, W, ThFTu 0.035%-0.100%0.072%0.112%0.044%0.037% 
    lmt  M, T, W, T, F Th 0.055%0.053%0.051%0.005%0.106%0.059% 
    cat WM, T, Th, FWF 0.056%0.241%0.048%0.012%-0.024%0.013% 
    de WM, T, Th, FWF 0.056%0.124%0.062%0.089%-0.014%0.021% 
    emr Tu, ThF, M, WFTh 0.048%0.115%0.128%-0.014%0.047%-0.033% 
    adm FM, T, W, ThFTh 0.034%-0.006%0.050%0.016%0.036%0.071% 
    mon  M, T, W, T, F W 0.074%0.012%0.108%0.133%0.062%0.046% 
    jpm ThM, T, W, FThM 0.060%0.063%0.131%0.128%0.005%-0.030% 
    gs FM, T, W, TFTu 0.028%-0.089%0.063%0.094%0.011%0.051% 
    pfe W, ThM, Tu, FThF 0.049%0.127%0.100%0.067%-0.019%-0.028% 
    bmy WM, T, Th, FWF 0.033%0.109%0.107%0.022%-0.085%0.015% 
    abc Tu, FM, W, ThFW 0.067%-0.034%0.130%-0.010%0.142%0.102% 
    mdlz TuM, W, Th, FTuM 0.027%0.041%0.058%-0.040%0.034%0.042% 
    aapl ThM, T, W, FThF 0.067%0.174%0.078%0.126%0.078%-0.115% 
    intc ThM, T, W, FThTu 0.057%0.118%0.150%0.170%0.025%-0.182% 
    csco ThM, T, W, FThTu 0.092%0.035%0.100%0.202%0.147%-0.031% 
    hpq M, ThTu, W, FThF 0.043%0.181%-0.041%0.118%0.033%-0.069% 
    cvx TuM, W, Th, FTuF 0.048%0.126%0.091%-0.006%0.023%0.010% 
    bp  M, T, W, T, F Th 0.029%0.039%0.023%0.024%0.019%0.043% 
    ngg TuM, W, Th, FTuM 0.038%0.099%0.116%-0.071%0.042%0.013% 
    nly Tu, FM, W, ThFTh 0.054%-0.111%0.166%-0.038%0.065%0.176% 
    ni  M, T, W, T, F Th 0.050%0.069%0.062%0.033%0.008%0.077% 
    wmb FM, T, W,TFW 0.057%-0.126%0.017%0.023%0.198%0.167% 
    csx FM, T, W, TFW 0.049%-0.028%0.043%0.075%0.090%0.058% 
    nsc M, TuW, Th, FTuW 0.045%0.006%-0.010%-0.040%0.141%0.132% 
    cnw M, ThTu, W, FMW 0.036%0.042%-0.006%0.054%0.094%-0.006% 
    mo ThM, T, W, FThF 0.059%0.203%0.063%0.048%0.028%-0.038% 
                  

    If anything, some of the discrepancies in day-to-day returns are quite fascinating. Considering that most of the numbers came from a couple of decades of data, where available, it clearly cannot be dismissed as statistical anomalies.

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