Fear & greed

[bart]

One of my backorders of round tuits finally came in, and I've generated a new set of algorithms for a chart that attempts to quantify fear & greed.

The algorithm is proprietary but some of the included elements are VIX, gold & silver, sentiment and option data. Note that the data used in the algorithm is not available prior to 1990.


http://www.nowandfutures.com/images/fear_calm.png

[Rajiv]

Is that a greed / fear index? (greed divided by fear) -- what would be ineresting is a greed index and a fear index seperately as well

[bart]

Is that a greed / fear index? (greed divided by fear) -- what would be interesting is a greed index and a fear index separately as well

ooops... I just updated the legend and color scheme to make it clearer that both are on the same chart - greed is predominate when the index has an above zero value and fear when it's below zero.

I've been playing around with the area of behavioral economics, and it's a hoot how well it can frequently call turns and other key items.

[bart]

I don't recall if I've ever posted the Pain & Misery index, which was very popular in the '70s and early '80s.

Its simply the CPI-U plus the unemployment rate, and I've shown the very long term picture using both the U3 (normally reported) unemployment measure and the U6 one, which is more directly comparable to other country's unemployment rates... and of course both CPI and CPI+lies measures.



http://www.nowandfutures.com/images/pain_misery_index.png

[Rajiv]

Ah! To be in the "Roaring 20's (http://en.wikipedia.org/wiki/Roaring_Twenties)!" I figure such optimism is never going to be repeated again! But then today I am having a moment of pessimism.

[bart]

Ah! To be in the "Roaring 20's (http://en.wikipedia.org/wiki/Roaring_Twenties)!" I figure such optimism is never going to be repeated again! But then today I am having a moment of pessimism.

May more of your ups & down be between the sheets... :eek: :cool: ;)


Hope the fear greed index is clear now.

[Finster]

Yikes, El Bartos ... sounds like you are talking about rough marriage, here! ;)

On the other hand, it could be today's markets, too ... Nice work on the graphics! And good to see you giving your space some well-deserved traffic.

[krakknisse]

On the technical side, that graph is Stata, right? Perhaps there could be some common repository of economic data that you could easily access to roll your own graphs and indexes in Stata. Filling in time series of different granularity can be a little tricky, and nice graphs too. But Stata is easily automated, so that the graphs can be updated with new data with zero trouble.

I think I could get the data that's on this blog entry easily from the listed sites:
http://bullionvaultwatch.blogspot.com/2007/12/helicopter-ben-is-good-for-gold-long.html

[bart]

On the technical side, that graph is Stata, right? Perhaps there could be some common repository of economic data that you could easily access to roll your own graphs and indexes in Stata. Filling in time series of different granularity can be a little tricky, and nice graphs too. But Stata is easily automated, so that the graphs can be updated with new data with zero trouble.

I think I could get the data that's on this blog entry easily from the listed sites:
http://bullionvaultwatch.blogspot.com/2007/12/helicopter-ben-is-good-for-gold-long.html

While Stata and similar products are very powerful and decent, my charts are mostly done with just regular Excel.

I've tried to do more automation with web links and other items & tricks, but my experience has been that its faster and more reliable to do the data updates manually. There are so many format and data changes in an average month from the various data sources I use that it just plain requires manual intervention anyhow.

I also try and avoid as much use of exotic tools like ARIMA or even straight regression as possible, since usually the data isn't accurate enough to justify it. I'm a big fan of K.I.S.S. too.

[bart]

Yikes, El Bartos ... sounds like you are talking about rough marriage, here! ;)

On the other hand, it could be today's markets, too ... Nice work on the graphics! And good to see you giving your space some well-deserved traffic.

Thanks Fin. :D

I don't always have my tinfoil hat enabled or am compelled to decry and post about exotic items like Fed Open Market Ops or M3... :rolleyes: ;) ... especially since so many are now talking about and covering the areas.

Today's markets sure are reminiscent of the '70s in many ways. I do have a fear greed chart prior to 1990 (going back to 1976) but I'm not happy enough about it to post it yet.

[Finster]

... I do have a fear greed chart prior to 1990 (going back to 1976) but I'm not happy enough about it to post it yet.

... and here I thought fear and greed were invented in 2007 ...

[GRG55]

... and here I thought fear and greed were invented in 2007 ...

Fear maybe.

Greed, no... ;)

http://www.google.com/images?q=tbn:FJBOdbPoOhAJ:image.guardian.co.uk/sys-images/Film/Pix/pictures/2007/05/08/wallstreet460.jpg (http://www.google.com/imgres?imgurl=http://image.guardian.co.uk/sys-images/Film/Pix/pictures/2007/05/08/wallstreet460.jpg&imgrefurl=http://blogs.guardian.co.uk/film/2007/05/wall_street_ii_now_hollywood_really_is_in_silly_se quel_season.html&h=83&w=128&sz=49&tbnid=FJBOdbPoOhAJ:&tbnh=83&tbnw=128&prev=/images%3Fq%3DGordon%2BGekko&sa=X&oi=image_result&resnum=1&ct=image&cd=2)

http://www.google.com/images?q=tbn:cJ0D1qE9oTkJ:capitalist.blog.is/users/82/capitalist/img/c_documents_and_settings_alan_desktop_gordon-gekko.jpg (http://www.google.com/imgres?imgurl=http://capitalist.blog.is/users/82/capitalist/img/c_documents_and_settings_alan_desktop_gordon-gekko.jpg&imgrefurl=http://capitalist.blog.is/blog/capitalist/image/309745/&h=122&w=99&sz=29&tbnid=cJ0D1qE9oTkJ:&tbnh=122&tbnw=99&prev=/images%3Fq%3DGordon%2BGekko&sa=X&oi=image_result&resnum=1&ct=image&cd=1)

[bart]

... and here I thought fear and greed were invented in 2007 ...

In dark humor mode:

When will they realize that George Orwell's 1984 was a warning, not an instruction manual?