Feeds:
Posts
Comments

Motivation update

Posting has been pretty sparse since the Election.  It takes quite a lot of work to update the polls, run the simulations, and write up the results.  Given the readership – I’m guessing there’s only a couple of dozen regular readers out there – it hasn’t really been a high priority.

I’ve been on the fence for a while over whether or not I should restart the blog, but I’ve recently started learning Python and I think I need a substantial project to work on.  The plan is to start from scratch and try and create something a bit more impressive than the efforts for the 2008 or 2011 elections.

Obviously there is a bit of time pressure.  I will need to produce something reasonably polished by a couple of months before the election at the latest, but in the mean time this blog will function as a sort of how-to for those interested in how the simulations work or for those who want to cross-check the results.

If there’s any specific features you would like to see then please get in touch.

By popular request: an update of the previous post with data from the last eight days.

Average daily trade price, 2014 election winner stocks on iPredict for National (blue) and Labour (red).

Average daily trade price, 2014 election winner stocks on iPredict for National (blue) and Labour (red).

And zoomed in on the last seven months beginning on 20 August, just before David Shearer resigned:

Average daily trade price, 2014 election winner stocks on iPredict for National (blue) and Labour (red).

Average daily trade price, 2014 election winner stocks on iPredict for National (blue) and Labour (red).

Things have not got better for Labour, with the split now fairly stable at 70/30 odds over the last week.  What is worse is that the book is very asymmetrical: to short National’s chances of victory down to 60% you would need to drop $1813, whereas to bid them up to 80% would take only $553.  Everybody seems particularly bullish on National’s chances.

To be honest I’m a bit surprised.  In the previous post I said that I don’t see how the stock for National can realistically go higher than 70c prior to the pre-election leaders’ debates, and I stand by that.  I’m not sure why people keep bidding the stock up past 70c, although profit taking could be part of it.  I’ve left a few out of the money asks, but am starting to get a bit over-exposed.

iPredict is running a contract on National winning the 2014 election.  It was originally launched on 26 October 2011, a month before the 2011 General Election, and has been floating around between $0.40 and $0.60 since then.  It’s only in the last month that the stock has moved significantly beyond $0.60, so it’s worth taking a quick look.  Full trade history is taken from Luke Howison’s excellent API interface for iPredict, and then tweaked with a bit of Excel.

As shown in the graph below, the increase in price since has been pretty constant since it was trading at about $0.45 in October 2013, about a month or so after David Cunliffe was elected leader of the Labour Party.  The average daily price hasn’t dropped below $0.60 since 8 February 2014.

Average daily trade price, 2014 National election victory stock on iPredict.

Average daily trade price, 2014 National election victory stock on iPredict.

In  case you are wondering if this is just a short term fluctuation the answer is probably not.  Daily volumes are shown below.

Daily volume, 2014 National election victory stock on iPredict.

Daily volume, 2014 National election victory stock on iPredict.

Even disregarding the spikes you can still see that trading has increased quite a bit since, again, about mid-October.  In that four month period a total of $19200 changed hands, or about 42% of the $46100 total that has been traded since 2011.  The stock is not just bouncing around on weak liquidity.

It should also be mentioned that bid order book is quite solid: if you wanted to force the evaluation of National’s chances of winning the election back to an even 50/50 then you would need to drop a total of $1420 on 2500 contracts at an average price of $0.57.  Then you’d have to keep it there.  It’s doable, but I don’t fancy your chances.

Intra-day volatility is shown below:

Intra-day volatility, 2014 National election victory stock on iPredict.

Intra-day volatility, 2014 National election victory stock on iPredict.

The most volatile days were 28 January 2014 (David Cunliffe’s State of the Nation speech and “baby bonus”, the new flag debate), 26 October 2011 (contract launch, so meta), 28 November 2011 (first weekday after 2011 General Election), 28 October 2011, and 11 October 2012 (opposition parties’ discussion on “manufacturing jobs crisis” and Labour allegations a video exists of John Key talking to GCSB staff in February about their involvement in the Kim Dotcom case), although most on small volumes.

Daily changes are as follows:

Daily price change, 2014 National election victory stock on iPredict.

Daily price change, 2014 National election victory stock on iPredict.

The biggest absolute daily changes (other than those mentioned above) were 29 April 2012 (general debate over whether David Shearer was the correct choice for Labour Leader (see Dim-Post) and the Banks/Dotcom scandal), 22 April 2012 (a series of bad headlines for National, none of which seemed to have any affect on the polls), 13 October 2012 (“manufacturing jobs crisis”, although interestingly also the day before the MSD/WINZ security leaks exposed by Keith Ng hit the headlines?).

The 28 January 2014 in particular was an interesting day: on the day David Cunliffe was giving his State of the Nation/Baby Bonus speech stocks surged 6.6c from 59.8c to 66.4c on near-record volumes as over $1300 changed hands.  Was this the beginning of the end for Labour’s 2014 election chances?

Finally, this is the point where I’m obliged to point out that if you really think that iPredict has a pro-National bias, and that National actually have a less than a 65% chance of winning the election then you should put your money where your mouth is and go and short some stock.  There is plenty of liquidity there for you to bail out should your views change so you won’t be locked into your position long-term; you can’t use that as an excuse either.

For what it’s worth, I personally I think that barring 4-5 good poll results for Labour the stocks are going to settle at around 65c for the next few months.  I don’t see how they can realistically go higher than 70c prior to the pre-election leaders’ debates.  Having said that, I don’t think one or two good poll results for Labour are going to be enough to move them in the opposite direction either.  Labour’s prospects are looking genuinely shabby compared to four months ago (post Cunliffe election), or even 12 months ago when Shearer was still leader.

New polls are starting to come out a bit quicker now, three from Roy Morgan Reasearch (1, 2, 3), and the first post-election One News-Colmar Brunton poll. I guess I will have to go back to semi-regular once-per-month or so updates.

The updated polling averages now have National on 48.2% +/- 1.5%, Labour on 29.3% +/- 1.3%, the Greens on 13.0% +/- 0.9% and NZF on 4.8% +/- 0.6%. Changes from the previous polling update are not statistically significant!

As usual, the graphs below summarise the polling averages for the party vote after the new poll. The horizontal axes represent the date, starting 60 days before the 2008 NZ General Election, and finishing on the present day. The solid lines with grey error bands show the moving averages of the party vote for each party, and circles show individual polls with the vertical lines representing the raw statistical errors.

Party vote support for the eight major and minor NZ political parties as determined by moving averages of political polls. Colours correspond to National (blue), Labour (red), Green Party (green), New Zealand First (black), Maori Party (pink), ACT (yellow), and United Future (purple), respectively.

Party vote support for the eight major and minor NZ political parties as determined by moving averages of political polls. Colours correspond to National (blue), Labour (red), Green Party (green), New Zealand First (black), Maori Party (pink), ACT (yellow), and United Future (purple), respectively.

Party vote support for the Green party as determined by moving averages of political polls.

Party vote support for the Green party as determined by moving averages of political polls.

Party vote support for the five minor NZ political parties as determined by moving averages of political polls. Colours correspond to New Zealand First (black), Maori Party (pink), ACT (yellow), and United Future (purple), respectively.

Party vote support for the five minor NZ political parties as determined by moving averages of political polls. Colours correspond to New Zealand First (black), Maori Party (pink), ACT (yellow), and United Future (purple), respectively.

A couple of points to note. The Greens have been holding steady at about 13% +/- 1% since a month or so before the election – about 2% higher than they actually polled. National are holding steady at about 48% +/- 1%, also slightly higher than they recorded at the last election. Labour, on the other hand, look to have had a bit of a rise, peak, and fall since the election, but it’s not necessarily statistically significant. Occam’s razor says that they are polling at 28% +/- 1%, where they have been since a couple of months or so before the election.

The other point to note is the talk on Twitter and the blogs about the credibility of the recent Morgan Poll results. National, for example, went from 48.5% two polls ago down to 44.0% (a drop of 4.5%) and then back up to 49.5% (a rise of 5.5%). On the face of it this looks a bit strange, but keep in mind that the error on National’s polling is about 2%, and relative to this the fluctuations aren’t huge. On top of that, previous post-election polls had them at 47.0%, 46.0%, 45.5%, 45.5%, all well within a reasonable margin of error. Taken alone these previous results show, if anything, too little fluctuation. But whenever you deal with political polls, or any numbers with an element of randomness, you should expect periods of little fluctuation followed by some large swings. That’s just how randomness works. Given the small sample sizes on the Morgan Polls of ~800 respondents (cf. 1000 for Colmar Brunton) they seem pretty credible.

In the first post-election update we have five new polls to work with, four from Roy Morgan Reasearch (1, 2, 3, 4) and a TV3-Reid Research poll.

The updated polling averages now have National on 47.6% +/- 1.3%, Labour on 29.6% +/- 1.2%, the Greens on 12.8% +/- 0.8% and NZF on 4.8% +/- 0.5%.

The first point to note is that these numbers are a lot closer to the actual 2011 election result than they are to the final pre-election polling update. What happened? One possible explanation is that a significant minority of voters made up their minds on who they would vote for at the 2011 election a day or so beforehand – too late to show up in any of the polls – and haven’t changed their support since. It seems a bit too suspicious though. I can’t think of any other obvious explanations.

As usual, the two graphs below summarise the polling averages for the party vote after the new poll. The horizontal axes represent the date, starting 60 days before the 2008 NZ General Election, and finishing on the present day. The solid lines with grey error bands show the moving averages of the party vote for each party, and circles show individual polls with the vertical lines representing the raw statistical errors.

Party vote support for the eight major and minor NZ political parties

Party vote support for the eight major and minor NZ political parties as determined by moving averages of political polls. Colours correspond to National (blue), Labour (red), Green Party (green), New Zealand First (black), Maori Party (pink), ACT (yellow), and United Future (purple), respectively.

Party vote support for the Green party

Party vote support for the Green party as determined by moving averages of political polls.

Party vote support for the five minor NZ political parties

Party vote support for the five minor NZ political parties as determined by moving averages of political polls. Colours correspond to New Zealand First (black), Maori Party (pink), ACT (yellow), and United Future (purple), respectively.

As always, please check the Graphs page for further simulation results. Unfortunately, though, because there have been only five polls in the last three months the margins of error have blown out, and the graphs aren’t particularly meaningful. In addition, you will notice a strange double-peaked graph for the number of seats National are expected to win. This is a result of unpredictability in whether or not NZF make the 5% threshold, and the graph is basically the sum of two Gaussians: one for when NZF gets over 5% and one for when they get less than 5%. If NZF continues to hover around the 5% mark I will have to think up a better way to present these results. Note also that it is pretty much impossible to predict who would be in government from the recent polls, due, again, to the large margin of error.

Update 21:31

New update with 69% of the vote counted.  Results now a lot more certain.

Total seats for National party.

Total seats for National party.

National to win 60 to 63 seats.

Total seats for the Labour party.

Total seats for the Labour party.

Labour to win 32 to 35 seats.

Total seats for the Green party.

Total seats for the Green party.

Green party to win 13 to 14 seats.

Scenario analysis.

Scenario analysis.

A National PM.

Update 20:45

Still too early to make comments on the electorate results, or results at the candidate level, but things are now stable enough to make national-level predictions.

Histogram showing the total number of seats National are expected to win in parliament.

Histogram showing the total number of seats National are expected to win in parliament.

Simulated distribution of seats for National now showing double peak. National a lot better off if NZF don’t make 5% than they are if they do.

Scenario analysis.

Scenario analysis.

National still predicted to lead government, but probability of majority rapidly falling. There is now a reasonable probability that the Maori party will hold balance of power.

Follow

Get every new post delivered to your Inbox.