Vertical Solutions

Trading Strategy Design

The Energy Expended by a Market, 01/01/07

Two graphs of the energy expended by a market:

Two spectrographs analyzing market structure.

The top graph is an illustration of total energy output by year, the bottom a look at the energy expended (low-to-high) in the market each day.

Things to note:

- There have been three straight 'low energy' years, a volatility forecast (top graph)

- The annual energy never varies by more than 15% from year-to-year, a view into the constancy of market structure (top graph)

- The daily distributions appear very homogeneous year-over-year, another view into market structure (bottom graph)

Henry Carstens
Vertical Solutions
carstens@verticalsolutions.com