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Technical Analysis of Gaps: Identifying Profitable Gaps for Trading by Richard J. Bauer, Julie R. Dahlquist

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Chapter 3. The Occurrence of Gaps

This chapter examines the frequency of gaps across many dimensions. How often do gaps occur? Are gaps becoming more frequent or less frequent over time? Does index membership play a role in gap frequency? This chapter explores these questions.

Data and Software

Before getting into the answers to those questions, you need to understand the data used in writing this book. The stock data came from Norgate Investor Services, which sells a software package called Premium Data. There are two different U.S. stock price datasets available within Premium Data. Historical data can be purchased for either currently listed stocks or delisted stocks. The base package for each contains price history from 1985, but an add-on ...

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