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Stable Stock Analyzer

Initialization procedures below this cell

Enter the stock mutual fund or index symbol and the start date.  The program will collect all the data from the Wolfram webserver between the start date and present.  Change the inputs in the cell below, select all the cells in the notebook, and evaluate.
The calculations use a stationary stable strategy, but one of the graphs collects a picture of stable gamma over the previous month.  Projected probabilities will be dependent on the assumptions about gamma and the calculations of alpha which for a stationary model tend to underestimate the value of alpha--see the graph of the fit at the tails.  If you use the calculations for price projections, you must be wary of the errors introduced by a model that is not a fully accurate representation of market behavior.  The program is designed so that market price behavior may be explored; the outputs are not guaranteed to be accurate.  The user must assume all risk for his own interaction with these data.

StableStockAnalyzerM7_1.gif

Get data from web server

StableStockAnalyzerM7_2.gif

StableStockAnalyzerM7_3.gif

Graphics:Closing Price GE

Graphics:Log Volume GE

Graphics:Volatility GE

Graphics:21 Day Moving Average Volatility (Stable γ) GE

StableStockAnalyzerM7_8.gif

α β γ δ
Day Open Data 1.58666 0.0269509 0.00981359 0.000434506
Day High Data 1.54144 0.021353 0.00770114 0.000359948
Day Low Data 1.49604 -0.0383448 0.00826313 0.000361279
Day Close Data 1.64544 0.0454057 0.0100257 0.000494507
Week Close 1.70522 0.00307412 0.0216048 0.00165165
Scaled Week from Day 1.64544 0.0454057 0.0266628 0.00247253
Scaled Month from Day 1.64544 0.0454057 0.0637793 0.0103846

Stable fit shown in Log-Log format for close data.

Graphics:Log Log Stable Distribution Left Tail Blue, Right Red, (Normal Green)

Slide mouse over the graph below to calculate the probability at a given price.

StableStockAnalyzerM7_10.gif

StableStockAnalyzerM7_11.gif

Probability of     
Lower Return
Percent     
Return
Probability of   
Higher Return
0.05 -15. 0.95
0.1 -10.8 0.9
0.15 -8.4 0.85
0.2 -6.6 0.8
0.25 -5.1 0.75
0.3 -3.7 0.7
0.35 -2.5 0.65
0.4 -1.3 0.6
0.45 -0.2 0.55
0.5 0.9 0.5
0.55 2.1 0.45
0.6 3.2 0.4
0.65 4.5 0.35
0.7 5.8 0.3
0.75 7.4 0.25
0.8 9.1 0.2
0.85 11.3 0.15
0.9 14.5 0.1
0.95 20.4 0.05

StableStockAnalyzerM7_12.gif

Date             Dividend
Mar 01 1995 0.06833
Jun 30 1995 0.06833
Sep 27 1995 0.06833
Dec 27 1995 0.07667
Mar 04 1996 0.07667
Jul 01 1996 0.07667
Sep 26 1996 0.07667
Dec 27 1996 0.08667
Mar 04 1997 0.08667
Jul 02 1997 0.08667
Sep 26 1997 0.08667
Dec 29 1997 0.1
Mar 05 1998 0.1
Jul 06 1998 0.1
Sep 28 1998 0.1
Dec 29 1998 0.11667
Mar 04 1999 0.11667
Jul 06 1999 0.11667
Sep 28 1999 0.11667
Dec 22 1999 0.13667
Mar 06 2000 0.13667
Jul 05 2000 0.137
Sep 29 2000 0.137
Dec 27 2000 0.16
Mar 05 2001 0.16
Jul 05 2001 0.16
Sep 26 2001 0.16
Dec 27 2001 0.18
Feb 27 2002 0.18
Jun 26 2002 0.18
Sep 25 2002 0.18
Dec 27 2002 0.19
Feb 26 2003 0.19
Jun 26 2003 0.19
Sep 25 2003 0.19
Dec 29 2003 0.2
Feb 26 2004 0.2
Jun 24 2004 0.2
Sep 23 2004 0.2
Dec 22 2004 0.22
Feb 24 2005 0.22
Jun 23 2005 0.22
Sep 22 2005 0.22
Dec 22 2005 0.25
Feb 23 2006 0.25
Jun 22 2006 0.25
Sep 21 2006 0.25
Dec 21 2006 0.28
Feb 22 2007 0.28
Jun 21 2007 0.28
Sep 20 2007 0.28
Dec 20 2007 0.31
Feb 21 2008 0.31
Jun 19 2008 0.31
Sep 18 2008 0.31
Dec 24 2008 0.31

StableStockAnalyzerM7_13.gif

0.05 0.10 0.20 0.25 0.30 0.40
Last Low 13.83 14.51 15.2 15.44 15.66 16.05
Last Close 14.51 15.22 15.95 16.2 16.43 16.84

StableStockAnalyzerM7_14.gif

StableStockAnalyzerM7_15.gif

StableStockAnalyzerM7_16.gif

0.05 0.10 0.20 0.25 0.30 0.40
Last High 20.55 19.54 18.63 18.33 18.07 17.62
Last Close 20.55 19.54 18.63 18.33 18.07 17.62

StableStockAnalyzerM7_17.gif

StableStockAnalyzerM7_18.gif

StableStockAnalyzerM7_19.gif



© Copyright 2009 mathestate    Sun 4 Jan 2009