суббота, 11 мая 2013 г.

Is Apple stock price determined by the sun?

About geomagnetic effect on stock prices.

While studying the impact of different factors on stock prices, we obtained a very interesting and somewhat unexpected result of the dependence of stock prices of some companies on geomagnetic activity. We have loaded the stock prices of some companies, in particular Apple, for the time period from 2012.01.01 to 2013.03.30, and then we compared the data with the Kp index, which reflects geomagnetic activity. Geomagnetic activity is caused by solar activity.  The following figure shows the graphs of geomagnetic activity and AAPL stock prices:

The following figure shows the moving averages of the value with the averaging window of 50 days:

 It is visually obvious that the trends of the curves is similar at some time periods.  To define causal relation, we used Granger causality test. We researched the causal dependence of stock prices on geomagnetic activity (test 1) and the inverse relationship (test 2). We obtained the following results:

test 1
Model 1: AAPL ~ Lags(AAPL, 1:1) + Lags(Kp, 1:1)
Model 2: AAPL ~ Lags(AAPL, 1:1)
  Res.Df Df      F  Pr(>F)  
1    449                    
2    450 -1 9.2599 0.00248 **
Signif. codes:  0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1
Granger causality test

test 2

Model 1: Kp ~ Lags(Kp, 1:1) + Lags(AAPL, 1:1)
Model 2: Kp ~ Lags(Kp, 1:1)
  Res.Df Df      F Pr(>F)
1    449                
2    450 -1 0.2149 0.6432

The p-values for the test 1 is equal 0.00248, it means that geomagnetic activity affects the Apple stock prices with the probability more that 99% . It is obvious that such an effect is possible because of the geomagnetic dependence of investors' psychological mood.

We will carry on our research and the results will be published in our blog.

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