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Can you do the same with the weekly data?

I figured it out. And it's entirely because of 1987. Using weekly 1987 data, I get a kurtosis of 3.3. If I change that week in 1987 from -12% to -22% (the daily loss), the kurtosis immediately jumps to 8.5. Obviously, the daily data has a much higher kurtosis than the weekly data.

I just don't understand why the DJIA's kurtosis would be so much higher than the S&Ps. Either something is wrong or there is something I don't understand going on.

Using the logarithmic returns, I get a kurtosis of 36.3 as you say. But using S&P weekly data (logarithmic returns), I still see 3.49 (I had 3.31 using nominal returns).

I didn't use the logarithmic prices. Should I be?

One major reason for the difference in Kurtosis between weekly and daily: In October 1987, the worst week for the S&P was -12.1%. But the worst day was about -22%. So even though daily vol is lower than weekly, the daily black swan is larger. But I still find it hard to believe a kurtosis...

Tell them you trade financial futures. That really gets them.

Using weekly S&P data back to 1950, I see: Skew -0.25 Kurt 3.31 BTW, where did you find daily data going back to 1900? I'd love to have that data set.

And alcohol, preferably at the same time.

Q: What is your biggest weakness? A: Coca Cola. It's empty calories and bad for your teeth, but I just love drinking Coke. Oh, you mean work related? Sorry.....

The current spread between the TNX and IRX is -0.43%. Back in 2000, the largest (inverted) spread was -0.62% (on a weekly closing basis). Of course the yield curve is just one of many factors affecting stocks and the economy. But a very important one.

Generally speaking, the yield curve is a negative for stocks. However, the stock market will wait until the yield curve reaches its maximum inversion. Then, the stock market will drop while the curve flattens/steepens.

"It isn't as important to buy as cheap as possible as it is to buy at the right time." Jesse Livermore

Then it will be time to load up with free puts.

CBSMarketWatch blames: Treasury prices dropped Thursday, sending yields higher, after the Treasury Department announced that long-term capital flows into the U.S. declined in September, igniting fears that foreign investors are losing their taste for U.S. government assets...

Falling like a rock (on good CPI news)! Any other news out there causing this? Or just a technical move?

This is inverted: http://www.bloomberg.com/markets/rates/index.html

IRX 4.96

How about trading jobs? That could explain why you have failed as a trader. The Malays and Indians are much better traders than you are and at a fraction of the cost.

Today was quite a day, which followed quite a large move up in bond prices. But where do we go from here? Anybody???