Confused by the financial news? Uncertain about what is really going on in the financial market?
Every day we are bombarded with thousands of news from the financial markets. But what are the really significant ones? How can we quickly detect the few serious market-quakes that can spell trouble, or opportunity, among the many insignificant random tremors?
This web site helps you separate the wheat from the chaff by listing only the market events that are statistically significant.
Just click on one of tabs to see the latest market events, grouped by severity, for the set of stocks that you are interested in:
The severity scale works a bit like the Richter scale for earthquakes.
A one-magnitude event ( ↓ ) is a relatively infrequent event that takes place only about 1% of the time. A two-magnitude event (↑ ↑) takes place only about 0.1% of the time and so on with greater magnitude indicating increasingly unlikely, and therefore more significant, events.
Positive events (price changes higher than expected) are displayed as green ↑ up-arrows, negative events (price changes lower than expected) as red ↓ down-arrows.
Note that we can have a negative event even when a stock increases in value. If, for example, a stock has an expected return of 10% and in the last period it has returned only 5%, that would be classified as a negative event.
Click on the column headers to sort and group the events in different ways.
The data is updated a few hours after market close time.
For the technically minded, here is how we calculate the significance of market events.
For every stock we calculate, using historical data, the average price change and the standard deviation of price changes for time periods ranging from 1 day to about 1 year. We then scale the last price change, for the given period, using the formula: (priceChange-averageChange)/standardDeviation. We filter out all events whose absolute score is less than 3 and assign magnitude 1 to events with scores between 3 and 4, magnitude 2 to events with scores between 4 and 5 and so on.
Consider for example the Spider ETF (Amex:SPY) that tracks the most important North American index, the S&P 500. On a 1-day period, the SPY has an average return of about 0.04% and a standard deviation of around 1%. So, if in the last day the SPY has lost 3.96% this is a -4 (-3.96%-0.04%)/1% standard deviations event that will be classified as a 2 magnitude negative event and displayed as ↓ ↓.
This is obviously a very simple (or even simplistic) way of measuring financial-quakes, much more sophisticated approaches are possible (see for example: Introducing a Scale of Market Shocks by Gilles Zumbach, Michel M. Dacorogna, Jorgen L. Olsen, Richard B. Olsen, GOZ.1998-10-01, March 1999). We invite you to send your suggestions on how to make the financial seismometer more accurate.
All information is provided "as is", for informational purposes only. By using this site, you agree that we are not liable for any informational errors, incompleteness, or delays, or for any actions taken in reliance on information contained herein.
This site is copyright © 2008 QuicQuid.Org. You have the right to use it under the, very liberal, terms of the Creative Commons Attribution 3.0 License.
This site does not store any personal information.
The data published on this site is the result of statistical processing of market data downloaded from Yahoo Finance. In observance of Yahoo's Terms of Service, we do NOT redistribute the original data.
The user interface uses the Ext JavaScript Library.