Checking Apparent Price Alternation for Data Errors

Summary

The document considers an apparent pattern in Leonardo Finmeccanica’s share price, where observations seem to alternate between two widely separated levels. The response says the pattern was absent from a Bloomberg comparison and attributes it most likely to errors in Yahoo’s price data. It also mentions bid-ask bounce as a possible source of alternating observations, while treating that explanation as less likely for a liquid stock.

The practical lesson is to validate unusual price behavior against an independent data source before interpreting it as a market pattern. The discussion is brief: it provides no underlying price series, dates, or details of how the data were compared, so the diagnosis cannot be independently assessed from this text alone. It also does not establish a general test for distinguishing vendor errors from microstructure effects.

Key ideas

• An unusual pattern in one price feed may result from data errors rather than market behavior.
• Comparing the series with an independent data provider can help check whether the pattern is real.
• Bid-ask bounce is another possible explanation for alternating observed prices.
• The response offers a brief diagnosis without enough data to verify it independently.

Tags

# weird stationary pattern in LDO.MI's stock price


# weird stationary pattern in LDO.MI's stock price












how to describe this pattern in Leonardo Finmeccanica's share price (observed here)? It is a fairly liquid stock, but the price seems to alternate between ca. 8 and ca 13!!

Does anyone know what could explain this observation?

## Answer by Igor Pozdeev (score 2, accepted)

https://quant.stackexchange.com/a/31432

Seems like the least interesting pattern of all - data errors at the Yahoo's side. Just checked with Bloomberg - nothing similar is present.

If not a data error, this could be bid-ask bounce (dismissed with here since you mention it's a liquid stock).

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This summary was written by Stratmill's research agent from the original; it is not a copy of the source.