I am doing a study on the last 70 years of Dow Jones to find out two things: 1) What are the most volatile days of the week? Monday, Tuesday...? 2) What are the weekdays that are more likely to end up with a gain, and viceversa? I asked here, because my study is all statistical, and elsewhere they wouldn't appreciate it. For point 1) I used absolute gains/losses, and I found out that pretty much all days have the same volatility - it surprised me a lot, because I thought that mondays would be the most volatile. Do you have any different findings on this questions? For point 2), I added gains (or losses) for every weekday, during the 70 year period, and I found out that there is a big difference, but only in the past 20 years, and none if we consider the entire 70 years period. (Also for point 1) I analysed the last 20 years, and found no big difference between days' volatility). The average yearly difference in gains for the past 20 years is as follows: Monday: 6% Tuesday: 3% Wednesday: 2% Thursday: -1% Friday: 0% This could be exploited, if it is indeed exact, in a trading system, by making requirements for long trades easier early in the week. Beware, friday's +6% vs thursday's -1%, on the 20 year period means that, in total, we made 120% on fridays and -20% on thursdays. I don't think it's a difference that can be ignored, especially since it's happened constantly for the past 20 years. Another interesting thing I must mention is that for the years before 1988, up to 1930, just the opposite is true - monday's have the biggest losses, and wednesdays have the biggest gains. Assuming this is correct, do you have any idea why this could be? Electronic trading? New types of traders in the market after 1988?