Month: May 2013

S&P500 and DJIA – Week Ending May 28, 2013

lpplmarketwatch Leave a comment
S&P 500

Week ending May 28, 2013.

Based on the figures, there appears to be no indication of a current bubble.

SP500 Bubble Index (52 weeks)
  1. 10/07/1974
  2. 01/11/1988
  3. 01/12/2009
SP500 Bubble Index (104 weeks)
  1. 06/08/2009
SP500 Bubble Index (260 weeks)
  1. 04/09/1956
  2. 03/02/1987
  3. 02/01/1999
  4. 10/05/2009
SP500 Bubble Index (364 weeks)
  1. 02/01/1960
  2. 09/08/1987
  3. 09/11/2000
  4. 08/08/2011
SP500 Bubble Index (520 weeks)
  1. 04/30/1990
  2. 10/09/2000

Dow Jones Industrial Average

Week ending May 27, 2013.

Based on the figures, there appears to be no indication of a current bubble.

DowJones Bubble Index (52 weeks)
  1. 07/15/1932
  2. 12/26/2008
DowJones Bubble Index (260 weeks)
  1. 01/27/1933
  2. 07/10/1987
  3. 07/17/1998
DowJones Bubble Index (364 weeks)
  1. 05/08/1908
  2. 11/01/1929
  3. 12/14/1934
  4. 01/13/1956
  5. 09/11/1987
  6. 02/25/2000
DowJones Bubble Index (520 weeks)
  1. 11/30/1934
  2. 03/18/1938
  3. 06/27/1958
  4. 06/29/1990
  5. 08/25/2000
DowJones Bubble Index (1040 weeks)
  1. 05/23/1930
  2. 03/15/1935
  3. 06/07/1940
  4. 09/13/1957
  5. 01/05/1990
  6. 07/21/2000

DAX – Week Ending May 20, 2013

lpplmarketwatch Leave a comment

May 20, 2013

I do not see any chances of there being a bubble in the DAX Index at this time.

Figure 1

Figure 1 produced with C++ code. DAX Index. Six year window of data. Every data point is a new week. Every peak in the market is represented by a red vertical line.
1. January 2, 2002 – followed by a 33% drop
2. May 26, 2008 – followed by a 38% drop

Figure 2

Figure 2 produced with C++ code. DAX Index. Seven year window of data. Every data point is a new week. Every peak in the market is represented by a red vertical line.
1. January 2, 2002 – followed by a 33% drop

Gold – Week Ending May 20, 2013

lpplmarketwatch Leave a comment

May 20, 2013:

The bubble index for the price of gold, shown in the following figures, indicates that gold is undergoing a bubble. Based on my data, although limited to 2001-2013 the bubble index has traveled continuously upward. If I can find better weekly data for the price of gold, then this upward trend can be properly put into perspective. Or, the code may not be properly designed for commodity prices. The price data is not inflation adjusted.

Figure 1

Figure 1 shows the bubble index for the price of gold. One year window. The red line corresponds to the following (ignore the dates on the graph, they are incorrect):
1. September 8, 2006 – followed by an 8.6% drop shortly after
2. July 19, 2008 – followed by a 28% drop
3. August 19, 2011 – followed by a 13% drop

Figure 2

Figure 2 shows the bubble index for the price of gold. Three year window. The red line corresponds to the following:
1. July 11, 2008 – followed by a 25% drop

Figure 3

Figure 3 shows the bubble index for the price of gold. Six year window.

Figure 4

Figure 4 shows the bubble index for the price of gold. Seven year window.

S&P500 and DJIA – Week Ending May 20, 2013

lpplmarketwatch Leave a comment

NOTE:
The posts before this one had some errors in the C++ code. I believe I have worked the most of the bugs out and this post contains the best plots to date.

I have been working on code to make a single plot which combines multiple sizes of data. When this has been finished there will only be one plot, not a six and seven year window together.

Also, the weekly data will now begin and end on Mondays, since I obtain my data from finance.yahoo.com.

Week ending May 20, 2013 for the S&P 500.

Based on the figures, there appears to be no indication of a current bubble.

Figure 1

Figure 1 was produced with C++ code. S&P 500. Six year window of data. Every data point is a new week. Every peak in the market is represented by a red vertical line.

1. Sept. 28, 1987 — followed by a 31.7% drop

2. August 28, 2000 — followed by a 36.5% drop

3. April 19, 2010 — followed by a 16% drop

Figure 2

 Figure 2 was produced with C++ code. S&P 500. Seven year window of data. Every data point is a new week. Every peak in the market is represented by a red vertical line.

Same lines as Figure 1.

Week ending May 20, 2013 for the Dow Jones Industrial Average.

Based on the figures, there appears to be no indication of a current bubble.

Figure 3

Figure 3 was produced with C++ code. Dow Jones Industrial Average. Six year window of data. Every data point is a new week. Every peak in the market is represented by a red vertical line.
1. December 31, 1909 — followed by a 23% drop
2. October 2, 1929 — followed by a 43% drop
3. March 12, 1937 — followed by a 40% drop
4. September 23, 1955 — followed by a quick 8.7% drop and then recovery
5. January 8, 1960 — followed by a 15.6% drop
6. October 2, 1987 — followed by a 31.7% drop
7. July 27, 1990 — followed by a 17% drop
8. September 8, 2000 — followed by a 36% drop
9. October 12, 2007 — followed by a drop in excess of 42%
10. July 8, 2011 — followed by a 16% drop

Figure 4

Figure 4 was produced with C++ code. Dow Jones Industrial Average. Seven year window of data. Every data point is a new week. Every peak in the market is represented by a red vertical line.
Numbers correspond to same as Figure 3.

KLSE – Week Ending May 10, 2013

lpplmarketwatch Leave a comment

May 10, 2013:

Looking at the Figure 1, I do not see any chances of there being a bubble in the KLSE Index at this time.

Figure 1

Figure 1 produced with C++ code. KLSE Index. Six year window of data. Every data point is a new week. Every peak in the market is represented by a red vertical line.
1. March 15, 2004 – followed by a 12.5% drop
2. June 19, 2006 – no drop
3. February 12, 2007 – no drop
4. September 22, 2009 – no drop

Bovespa – Week Ending May 10, 2013

lpplmarketwatch Leave a comment

May 10, 2013:

I do not see any chances of there being a bubble in the Bovespa Index at this time.

Figure 1

Figure 1 produced with C++ code. Bovespa Index. Six year window of data. Every data point is a new week. Every peak in the market is represented by a red vertical line.
1. January 5, 2004 – followed by a 23.5% drop
2. March 26, 2008 – followed by a 57% drop
3. January 4, 2010 – followed by a quick 10.7% drop and then recovery

Figure 2

Figure 2 produced with C++ code. Bovespa Index. Seven year window of data. Every data point is a new week. Every peak in the market is represented by a red vertical line.
1. January 5, 2004 – followed by a 23.5% drop
2. November 12, 2007 – followed by a 12.4% drop
3. March 26, 2008 – followed by a 57% drop
4. January 4, 2010 – followed by a quick 10.7% drop and then recovery
5. January 10, 2011 – followed by a 28% drop

DAX – Week Ending May 10, 2013

lpplmarketwatch Leave a comment

May 10, 2013:

I do not see any chances of there being a bubble in the DAX Index at this time.

Figure 1

Figure 1 produced with C++ code. DAX Index. Six year window of data. Every data point is a new week. Every peak in the market is represented by a red vertical line.
1. January 2, 2002 – followed by a 33% drop
2. December 1, 2003 – no drop
3. May 2, 2006 – followed by a quick 12% drop and recovery
4. May 26, 2008 – followed by a 38% drop
5. January 4, 2010 – followed by a quick 10% drop and recovery

Figure 2

Figure 2 produced with C++ code. DAX Index. Seven year window of data. Every data point is a new week. Every peak in the market is represented by a red vertical line.
1. May 21, 2001 – followed by a 39% drop
2. January 2, 2002 – followed by a 33% drop
3. December 1, 2003 – no drop
4. May 2, 2006 – followed by a quick 12% drop and recovery
5. January 4, 2010 – followed by a quick 10% drop and recovery
6. July 4, 2011 – followed by a 30% drop

FTSE – Week Ending May 10, 2013

lpplmarketwatch Leave a comment

May 10, 2013:

I do not see any chances of there being a bubble in the FTSE Index at this time.

Figure 1

Figure 1 produced with C++ code. FTSE Index. Six year window of data. Every data point is a new week. Every peak in the market is represented by a red vertical line.
1. Februray 15, 1996 – followed by a small 4.8% decrease and then quick recovery
2. August 29, 2000 – followed by a 20% drop
3. April 18, 2006 – followed by a quick 8.7% drop and quick recovery
4 . January 4, 2010 – followed eventually by a 12.6% drop

Figure 2

Figure 2 produced with C++ code. FTSE Index. Seven year window of data. Every data point is a new week. Every peak in the market is represented by a red vertical line.
1. September 29, 1997 – followed by a quick 11% drop
2. July 12, 1999 – followed by a quick 9.5% drop
3. June 4, 2001 – followed by a 25% drop
4. January 4, 2010 – followed by a 12% drop
5. July 4, 2011 – followed by a 15.9% drop
6. September 10, 2012 – followed by a small 5% drop and quick recovery

BSE SENSEX – Week Ending May 10, 2013

lpplmarketwatch Leave a comment

May 10, 2013:

I do not see any chances of there being a bubble in the BSE SENSEX Index at this time. Seems quiet…

Figure 1

Figure 1 produced with C++ code. BSE SENSEX Index. Six year window of data. Every data point is a new week. Every peak in the market is represented by a red vertical line.
1. May 12, 2008 – followed by a 22.8% drop
2. October 12, 2009 – followed by an 8% drop
3. December 27, 2010 – followed by a 13.7% drop

Figure 2

Figure 2 produced with C++ code. BSE SENSEX Index. Seven year window of data. Every data point is a new week. Every peak in the market is represented by a red vertical line.
1. January 7, 2008 – followed by a drop in excess of 28%
2. October 12, 2009 – followed by an 8% drop
3. December 27, 2010 – followed by a 13.7% drop

Nikkei – Week Ending May 10, 2013

lpplmarketwatch Leave a comment

May 10, 2013:

I do not see any chances of there being a bubble in the Nikkei Index at this time. Although, there appears to have been a recent bubble.

Figure 1

Figure 1 produced with C++ code. Nikkei Index. Seven year window of data. Every data point is a new week. Every peak in the market is represented by a red vertical line.
1. June 24, 1996 – followed by a 23.2% drop
2. May 20, 2002 – followed by a 35.7% drop
3. September 29, 2008 – followed by a 34% drop
4. March 29, 2010 – followed by a 20% drop
5. March 12, 2012 – followed by a 16.7% drop

Figure 2

Figure 2 produced with C++ code. Nikkei Index. Six year window of data. Every data point is a new week. Every peak in the market is represented by a red vertical line.
1. May 1, 1995 – followed by a 15% drop
2. November 18, 1996 – followed by a 18% drop
3. September 17, 2001 – exact bottom of downturn (or perhaps related to Sept. 11, 2001)
4. March 29, 2010 – followed by a 20% drop
5. March 12, 2012 – followed by a 16.7% drop