Carpenter Analytix

Cross-Section Analysis

Time Series Skew Paths


The double exponential moving average of daily net Tail Skew values gives a useful near-term indication of emerging strength or weakness.


Longer EMAs of the positive tail and negative tail illustrate dispersion ("internal volatility") as well as comparison of upside energy (when the P-Tail is higher) and downside energy (when the N-Tail is higher).


The net difference between the P-Tail and the N-Tail puts sharper focus on the relative position.