The First Statistical Studies

Abstract

The examination of intraday anomalies has a great advantage: interventions target the price, they must therefore be visible in the price. We thus measure the intervention effect directly when we examine the price. We will later draw on other proofs as well, such as quotes from central bankers. Their evidential value is, however, usually only of an indirect nature (as a rule they don’t contain official confirmation of the interventions). Only in combination with statistical proof (and the temporal and qualitative correlation won through the statistical analysis) do these quotes unfold their full significance. The proof demonstrated on the basis of price movements is not only direct, but, due to the high incidence of intraday anomalies, also significant. After all, our examination doesn’t just encompass any price movement we don’t like, but also shows a regularly repeated short-term pattern that lies far outside typical market behaviour and which cannot be explained otherwise. In March of 2000, Harry Clawar published a statistical study that was devoted to these intraday anomalies. 8 He seized on the observation often remarked upon in internet forums that the efforts to keep the gold price from rising were primarily centred on New York. Beginning in September 1999, he observed the gold price closely. It appeared to him that the price had a tendency to rise after the close in New York and that it fell most of the time during New York trading hours, beginning approximately with the time of the AM fixing in London. We take a look at the extent to which his observation can be verified in the intraday chart centred around the year 2000. For this purpose we use the chart in Figure 5.1 that shows the average price movement over the 1,250 days from August 1998 to July 2003. In addition, we add lines between the points in time to which Clawar refers. One can clearly see that the market fell on average between the AM fixing and the close in New York, while it rose on average between the New York close and the AM fixing of the following day. Clawar’s assumption can, therefore, be considered a rough approximation. Speck. The Gold Cartel: Government Intervention on Gold, the Mega Bubble in Paper, and What This Means for Your Future (Kindle Locations 524-539). Palgrave Macmillan. Kindle Edition.