Anomalies — Russian stock market

An anomaly is a daily stock move that clears one of two gates — not any move bigger than a couple of percent.

Price gate: |z| ≥ 3.0 and the daily move is ≥ 4 %. z is the daily return divided by σ (an EWMA volatility estimate for that same stock over the last 60 trading sessions, λ = 0.94 — the RiskMetrics methodology, J.P. Morgan, 1996). A 5% move on a liquid blue chip and a 5% move on a thinly-traded name are different events in substance; the z-score tells them apart, a flat percentage threshold does not.

Volume gate: the day's traded volume (in units) is ≥ 5× the median of the previous 20 sessions and the move is ≥ 2 %. The median is taken when at least 5 of those sessions had non-zero volume. This is an independent signal — a spike in interest can matter even without a large move relative to the stock's own volatility.

Both gates require liquidity: the stock's turnover for the day in roubles must be no lower than the median daily turnover of the market's stocks. A spike on a name thinner than the market median is one order's event, not the market's. If the stock's turnover for the day is unknown, this condition does not apply to it.

If there are fewer than 20 daily returns (that is, fewer than 21 trading sessions), σ is not computed at all, and such a stock never clears the price gate — it isn't treated as calm by default. It can still clear the volume gate, which needs no σ; the z-score in that row is then empty. A missing number stays missing, not zero.

Calculated from exchange candles only (price and volume, Moscow Exchange). Issuer financial-statement metrics play no role in this calculation.