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 turnover is ≥ 5× the median of the last 20 sessions and the move is ≥ 2%. This is an independent signal — a spike in interest can matter even without a large move relative to the stock's own volatility.

If the price history is shorter than 20 trading sessions, σ is not computed at all, and such a stock never becomes an anomaly — it isn't treated as calm by default. A missing number stays missing, not zero.

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