6 Sigma Events on 25th June 2009

csw2002

Both sentimental trader and zerohedge has identified that we have a 6 sigma event during the 25th June day session. The volume of future to cash market ratio has moved above 3 std deviations of the past 100 days. Assuming a normal distribution of the volume ratio (I am not convinced that the ratio follows a normal distribution though), such an event has a less than 1% probability of ocurring. This may indicate heightened future market actions (or manipulations depending on your point of view) that in turn has pulled up the cash market. I think it may be a worthwhile exercise to look at this ratio and subsequent market actions.

ice_tea

太牛了
一句也不懂

Stein

6s (i.e. DOE) always assume normal distribution, but mostly not here!

Are you using jmp?

wxp

那只是 3sigma 呀， 6sigma 要 一百多万年才出一次的，基本上赶上亲见耶稣的概率了。不过3sigma也要一年多才一次，还是少见的。

小亥

Sigma (the lower-case Greek letter σ) is used to represent the standard deviation (a measure of variation) of a statistical population. The term "six sigma process" comes from the notion that if one has six standard deviations between the process mean and the nearest specification limit, there will be practically no items that fail to meet specifications.[5] This is based on the calculation method employed in process capability studies.

In a capability study, the number of standard deviations between the process mean and the nearest specification limit is given in sigma units. As process standard deviation goes up, or the mean of the process moves away from the center of the tolerance, fewer standard deviations will fit between the mean and the nearest specification limit, decreasing the sigma number and increasing the likelihood of items outside specification.

小亥

* 1 sigma = 690,000 DPMO = 31% efficiency
    * 2 sigma = 308,000 DPMO = 69.2% efficiency
    * 3 sigma = 66,800 DPMO = 93.32% efficiency
    * 4 sigma = 6,210 DPMO = 99.379% efficiency
    * 5 sigma = 230 DPMO = 99.977% efficiency
    * 6 sigma = 3.4 DPMO = 99.9997% efficiency