Statistical analysis

1. TOP40 & CAC40 Correlation - link: 

http://engineeringtrader.blogspot.co.za/2016/06/top40-cac40-index-correlation.html

2. JSE ALLSHARE & FTSE100 Correlation - link: 

http://engineeringtrader.blogspot.co.za/2016/06/ftse100-jse-allshare-index-correlation.html

 

3. Dow Jones Industrial & JSE ALLSHARE Correlation - link:

 

http://engineeringtrader.blogspot.co.za/2016/06/dow-jones-industrial-jse-all-share.html

This post looks at what the correlation is between moves on the CAC40 and the JSE Top40 to see if there is any links in how these indecies move.

 The first set of data that was looked at is seen above. 610 days of correlated trading on the CAC40 and JSE Top40 was used. The data was compared and two cases were assessed. These cases were: what is the correlation between the CAC40 closing up and the JSE Top40 also closing up, and what is the correlation between the CAC40 closing down and the JSE Top40 also closing down. 

The data was compiled and the results showed that on a day that the CAC 40 closed up, there was a 69.11% correlation that the JSE Top40 also closed up. The same was done for the case of the CAC40 closing down on a particular day and the JSE Top 40 also closing down which showed a 66.67% correlation.

The mean, standard deviation and correlation coefficient was also calculated for the days of correlated trading for the indices and the results can be seen above. The mean for the percentage movements for both indecies was very similar with the CAC40 mean percentage movement coming to 0.02% and the JSE Top40 coming to 0.01%. The Standard deviations were also similar with the CAC40 equaling 1.07% and the JSE Top40 equaling 1.28%

The last set of analysis is the set up of a probability curve for analysing movements on the CAC40 and the historical correlation of what would happen on the JSE Top 40. The Y-axis is the confidence band this is the value that is added and subtracted to the percentage move on the CAC40. The X-axis is the probability axis.

How to use this curve is simple. The move on the CAC40 is taken e.g. CAC40 is up 0.5%. Then the user chooses the confidence band on the Y-axis (percentage deviation) for this example 0.8% is chosen. Then move across the Y-axis until you intersect with the curve and then move vertically down until you intersect with the X-axis and this is you probability. For this example the 0.8% confidence band chosen is subtracted from the 0.5%  move on the CAC40 (= -0.3%) and the probability is attained using the curve and moving across from 0.8 on the Y-axis and the result is that there is a 58% probability that the Top40 closes above -0.3% based on the historical correlation between the CAC40 and JSE Top40.

FTSE100 & JSE ALLSHARE index correlation 

This post looks at what the correlation is between moves on the FTSE100 and the JSE ALLSHARE to see if there is any links in how these indecies move.

 The first set of data that was looked at is seen above. 613 days of correlated trading on the FTSE100 and JSE ALLSHRE was used. The data was compared and two cases were assessed. These cases were: what is the correlation between the FTSE100 closing up and the JSE ALLSHARE also closing up, and what is the correlation between the FTSE100 closing down and the JSE ALLSHARE also closing down. 

The data was compiled and the results showed that on a day that the FTSE100 closed up, there was a 71.84% correlation that the JSE ALLSHARE also closed up. The same was done for the case of the FTSE100 closing down on a particular day and the JSE ALLSHARE also closing down which showed a 69.15% correlation.

The mean, standard deviation and correlation coefficient was also calculated for the days of correlated trading for the indices and the results can be seen above. The mean for the percentage movements for both indecies was very similar with the FTSE100 mean percentage movement coming to -0.01% and the JSE ALLSHARE coming to 0.03%. The Standard deviations were also similar with the FTSE100 equaling 0.98% and the JSE ALLSHARE equaling 0.99%.

The last set of analysis is the set up of a probability curve for analysing movements on the FTSE100 and the historical correlation of what would happen on the JSE ALLSHARE. The Y-axis is the confidence band this is the value that is added and subtracted to the percentage move on the FTSE100. The X-axis is the probability axis. 

How to use this curve is simple. The move on the FTSE100 is taken e.g. FTSE100 is up 0.5%. Then the user chooses the confidence band on the Y-axis (percentage deviation) for this example 0.8% is chosen. Then move across the Y-axis until you intersect with the curve and then move vertically down until you intersect with the X-axis and this is you probability. For this example the 0.8% confidence band chosen is subtracted from the 0.5%  move on the FTSE100 (= -0.3%) and the probability is attained using the curve. Moving across from 0.8 on the Y-axis the result is that there is a 71.6% probability that the JSE ALLSHARE closes above -0.3% based on the historical correlation between the FTSE100 and JSE ALLSHARE.

 

This post looks at the correlation between moves on the Dow Jones Industrial and the JSE ALLSHARE index to see if there are any links in how these indecies move.

 The first set of data that was looked at is seen above. 683 days of correlated trading on the Dow Jones and JSE ALLSHARE was used. The data was compared and two cases were assessed. These cases were: what is the correlation between the Dow Jones closing up and the JSE ALLSHARE closing up the following day, and what is the correlation between the Dow Jones closing down and the JSE ALLSHARE closing down the following day. 

The data was compiled and the results showed that on a day that the Dow Jones closed up, there was a 61.51% correlation that the JSE ALLSHARE closed up the following day. The same was done for the case of the Dow Jones closing down on a particular day and the JSE ALLSHARE closing down the following day, which showed a 56.88% correlation.

The mean, standard deviation and correlation coefficient was also calculated for the days of correlated trading for the indices and the results can be seen above. The mean for the percentage movements for both indecies was very similar with the Dow Jones mean percentage movement coming to 0.03% and the JSE ALLSHARE coming to 0.04%. The Standard deviations were also similar with the Dow Jones equaling 0.83% and the JSE ALLSHARE equaling 0.97%

The last set of analysis is the set up of a probability curve for analysing movements on the Dow Jones and the historical correlation of what would happen on the JSE ALLSHARE. The Y-axis is the confidence band this is the value that is added and subtracted to the percentage move on the Dow Jones. The X-axis is the probability axis. 

How to use this curve is simple. The move on the Dow Jones is taken e.g. Dow Jones is up 0.5%. Then the user chooses the confidence band on the Y-axis (percentage deviation) for this example 0.8% is chosen. Then move across the Y-axis until you intersect with the curve and then move vertically down until you intersect with the X-axis and this is you probability. For this example the 0.8% confidence band chosen is subtracted from the 0.5%  move on the Dow Jones (= -0.3%). The probability is attained using the curve and moving across from 0.8 on the Y-axis. The result is that there is a 63% probability that the JSE ALLSHARE index closes above -0.3% based on the historical correlation between the Dow Jones Industrial and JSE ALLSHARE Index.