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:

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.

Correlation coefficients of m day returns

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.