History of the Dow Jones Industrial Average: 1900 - 2007
Data from: Department of Statistics at Carnegie Mellon Univ., Quote.com, Yahoo!. You can perform your own analysis of the Dow historical data. Click here to download the Dow Jones history file. In the file you will find Dow Jones closing prices starting January 3, 1900. It is organized like:YYMMDD, Closing price
Download the Dow Jones history file
Distribution of 3 day returns of DJIA
The average 3 day return = 0.17%. Standard deviation = 1.3%. The red line is the normal distribution. One can see that the tails of return distribution can not be described by the normal curve. This is related to the inefficiency of the stock market. However, it is hard to exploit this small inefficiency to obtain a substantial profit.
This graph presents correlation coefficients c between m day return and the following m day return. For positive values of correlation coefficient one can expect that for positive (negative) m day return the next m day return will be mostly positive (negative).
From the graph one can conclude that the correlation is
negative for m = 1, 2 and becomes positive at larger m.
This corresponds to short-term corrections during longer trends.
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