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Studies:

Is There A January Effect?

Stock Market Modeling Techniques and Potential Applications

MathematicalAnalysis.com

MathematicalAnalysis.com describes mathematical models of the United States stock market that performed very well from 1969 into the early 2000s.

If you're interested in US stock market models that work in today's very different, computer-driven trading environment, please visit my current site, Stock Market Lights. You can also follow the Stock Market Lights blog on Twitter (@StockMktLights), Tumblr, and Facebook.

The materials below and to the left are historic, from the original MathematicalAnalysis.com.


"If I seem unduly clear to you, you must have misunderstood what I said." -- Alan Greenspan

Study: Stock Market Modeling Techniques and Potential Applications

Models have been developed that reduce the risk of investing in the U.S. stock market, while increasing long-term returns. Algorithms that evaluate the market's price pattern over a given period were studied in relation to the market's subsequent performance. Various correlations were noted. The correlations were merged into a series of models that provide buy and sell signals. [continue reading...]


Study: Is there a 'January Effect'?

Monthly statistics for the New York Stock Exchange (NYSE) Index from January 1969 through November 1998 were analysed to determine if the stock market posts increased gains in January, the so-called 'January Effect'. The graph above presents the average percent gain for the index for each month. A quick glance suggests that indeed there is a 'January Effect'--but of greater significance is that November, December, and January clearly have been the best three months for the market in the past 30 years.

This suggests an investment strategy for risk-averse investors... [continue reading...]


The models were developed by Lyra Technical Systems, Inc. using stock and bond market data bases extending back to the 1960's. The primary goal of the modeling strategies is to minimize risk of loss during market downturns while maintaining high long-term return.