Thursday, April 2, 2020

Recapitulating Ramones: "Song and Stock Volatility

In December 2019, based on research from NYU we proposed* as our new theme song an extremely fast cover of The Ramones "Blitzkreig Bop," in a post which mentioned that we've looked at this paper a few times:
Volume 23, Issue 1, January 2012, Pages 70–85

 Philip Maymin, NYU Poly - Department of Finance and Risk Engineering
Popular music may presage market conditions because people contemplating complex future economic behavior prefer simpler music, and vice versa. In comparing the annual average beat variance of the songs in the U.S. Billboard Top 100 since its inception in 1958 through 2007 to the standard deviation of returns of the S&P 500 for the same or the subsequent year, a significant negative correlation is observed. Furthermore, the beat variance appears able to predict future market volatility, producing 2.5 volatility points of profit per year on average.

Highlights

► Popular music may presage market conditions because people contemplating complex future economic behavior prefer simpler music, and vice versa. ► In comparing the annual average beat variance of the songs in the U.S. Billboard Top 100 since its inception in 1958 through 2007 to the standard deviation of returns of the S&P 500 for the same or the subsequent year, a significant negative correlation is observed. ► Furthermore, the beat variance appears able to predict future market volatility, producing 2.5 volatility points of profit per year on average.

Here's the 29 page PDF 
*"...So, trying to stay ahead of the curve I am going to propose the Ramones Blitzkrieg Bop as our next theme song.
Here's a very fast (200+ beats per minute) cover:"