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Article Archive For Frank Tarkany

  • Correlations of common stock indicators by Frank Tarkany

    ARTICLE SYNOPSIS ...Correlations of common stock indicators by Frank Tarkany Not surprisingly, it turns out that certain stock indicators are highly correlated with each other and with the Dow Jones Industrial Average (DJIA). There appear to be short but usable lags between the indicators and the underlying average. I investigated the cross and auto-correlations on more than 25 years of weekly data from 1964 to 1988 for the DJIA and these NYSE technical indicators: Cumulative index of advancing minus declining issues (CADI) Cumulative index of advancing minus declining volume (CADV) Cumulative price Quotron i...

  • Trading windows for technical indicators by Frank Tarkany

    ARTICLE SYNOPSIS ...Trading windows for technical indicators by Frank Tarkany In a number of articles over the past three years, Stocks & Commodities' authors have developed evidence that changes in securities prices are generated by a process that is random, stationary and dependent. In English: today's prices depend to some extent on past prices. Frank Tarkany presented evidence in previous issues that prices are non-random and dependent. The next questions are, ""If prices are non-random and dependent, what is their nature and over what period of time do past prices affect today's prices and future prices?""...

  • DJIA/NYSE Auto/Cross-Correlations by Frank Tarkany

    ARTICLE SYNOPSIS ...DJIA/NYSE Auto/Cross-Correlations by Frank Tarkany This article investigates auto/cross-correlations for the weekly Dow Jones Industrial Average (DJIA) price close and the New York Stock Exchange (NYSE) total volume from January 9, 1897 to December 27, 1985. Using the correlation coefficient and chi-square statistic, I discovered an almost random relationship between price and volume. This confirms my previous research (Technical Analysis of Stocks & Commodities, October/November 1986)...

  • Price/Volume Cross-Correlations in the DJIA by Frank Tarkany

    ARTICLE SYNOPSIS ...Price/Volume Cross-Correlations in the DJIA by Frank Tarkany This article examines the use of a Price Percent Filter (PPF) on daily Dow Jones Industrial Average (DJIA) closing prices from January 2, 1897 to January 2, 1987. Price changes from the filter are cross-correlated with their corresponding New York Stock Exchange (NYSE) total volume changes. The correlation coefficient and chi-square statistics results from June 13, 1949 to January 2, 1987 indicate good price/volume cross-correlations. Analysis A Price Percent Filter selects dates when the percentageof price change from a previous ...

  • Weekly price cycles: evidence of auto-correlation by Frank Tarkany

    ARTICLE SYNOPSIS ...Weekly price cycles: evidence of auto-correlation by Frank Tarkany This article is a continuation of my article last month which examined Dow Jones Industrial Average weekly closing price data for price auto-correlation and cross-correlation with total weekly NYSE volume. This work found cycles which compare favorably with previous cycle studies. In your trading, you may reasonably use these cycles with more confidence than is typical. Also, there may exist a 22-week fundamental price cycle, with harmonics, in the DJIA weekly close data....

  • Daily price and volume study: trading windows by Frank Tarkany

    ARTICLE SYNOPSIS ...Daily price and volume study: trading windows by Frank Tarkany This article investigates day-to-day price changes of the Dow Jones Industrial Averages (DJIA) and New York Stock Exchange (NYSE) total volume over a 85 year period to see whether the changes are random and/or serial independent, as is generally believed. Using a chi-square (x2) goodness of fit statistical analysis of daily DJIA price and NYSE volume changes, I found statistically significant trading windows in both series. The NYSE volume is serially time dependent while the DJIA daily closing price is both non-random and serial...

  • Weekly price and volume by Frank Tarkany

    ARTICLE SYNOPSIS ...Weekly price and volume by Frank Tarkany The daily DJIA closing price and NYSE total volume from January 2, 1897 to December 31, 1985 were used to construct a weekly data series. The week's closing price and total volume contained 4,623 data pairs, about 18.65 percent of the original daily data series. This weekly data series was then investigated for non-random and serial dependent trading windows with an eye to comparing the results to those from the daily data. Figures 1, 2, 3, and 4 show the weekly non-random and serial dependent chi-square x2 values for the DJIA weekly closing price and...






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