Morning Brief: WTI at $104.12 Before the November Jobs and ISM Test

MacKinlay describes standardizing an abnormal return by an estimate of its own standard deviation. First compute the observed return minus the declared normal-return model's estimate. Then divide that difference by a noise estimate obtained from a separate pre-event sample. This gives a dimensionless measure: how large is the gap relative to the volatility normally left unexplained by that model? The method does not change a return's dollar profit or loss. It changes the scale on which observations from different securities can be compared. For an editorial two-proxy example, suppose both assets show a +2-percentage-point abnormal return on a predeclared seasonal inspection day. One model's pre-event residual standard deviation is 1 percentage point; the other's is 4. The standardized observations are 2 and 0.5 units, respectively. Their raw excess returns match, but the first is further from its own baseline. Freeze each normal model, sampling interval, volatility-estimation window, and date before looking at the event. Keep the raw return alongside its standardized reading; otherwise a quiet but economically tiny move may look more important than a larger dollar move. This calculation is a measurement comparison, not a test statistic that proves a Gann date matters.

Try it

In a hypothetical event-day comparison, two assets each have a +2-percentage-point abnormal return. Their separate pre-event residual standard deviations are 1 and 4 percentage points. Standardize both observations. Which is larger in baseline-noise units?

Limits

A standard deviation estimated from very few or changing observations can mislead. Correlated assets and overlapping event days require inference methods beyond these two ratios. MacKinlay discusses equity-event methodology, not a demonstrated Gann or cryptocurrency effect. A standardized observation alone supplies no p-value or trading edge.

Source

A. Craig MacKinlay, Event Studies in Economics and Finance, Journal of Economic Literature 35(1), printed p. 24, paragraph after equation (20), court exhibit PDF page 13. Peer-reviewed original 1997 article, pp. 13-39. The seasonal-window application and two-asset arithmetic are editorial examples, not the author’s empirical findings.

JPL Horizons observer-table quantity 27 prints two position angles for a small body, measured counter-clockwise in the observer's sky plane from the reference-frame north pole. PsAng follows the extended Sun-to-target radius vector and is an indicator of a comet's anti-solar gas-tail orientation. PsAMV follows the negative heliocentric velocity vector and indicates the dust-tail direction. These are projected directions as viewed from the stated observer, not two competing zodiac longitudes. The distinction matters because a single sign label conceals which line in the sky a reader means. Consider a synthetic observation with PsAng at 60 degrees and PsAMV at 150 degrees. The shortest angular separation is 90 degrees. One marker points east of north, the other east of south; treating either as 'the comet's direction' loses the vector definition. To reproduce an observation, keep the object identifier, observer center, UTC epoch, coordinate frame, and both labeled fields together. When comparing it with a market chart, place the observation timestamp next to the price at that timestamp instead of sliding the date to a nearby move. Ancient omen language is not a measurement protocol: a sky-plane indicator tells you how to draw a line, not how a security should trade.

Try it

In a synthetic Horizons observer row, PsAng is 60 degrees and PsAMV is 150 degrees. Which indicator corresponds to the anti-solar gas-tail direction, which to the negative-velocity dust-tail direction, and what is their shortest angular separation?

Limits

The manual calls these orientation indicators, not observed tail shapes or economic causes. Both angles depend on the observer, frame, and time. A comet may not present visible gas or dust tails, and neither field supports a market-direction claim.

Source

NASA/JPL, Horizons System Manual, Definition of Observer Table Quantities, quantity 27, Position angles of heliocentric radius and negative velocity vector. Primary NASA/JPL Solar System Dynamics technical manual. PsAng and PsAMV are defined for small bodies, primarily active comets.