volatility clustering and mean reversion are very well known properties that one could use when trading. Traders, especially in options world, do take realized vol into account (e.g. by forecasting it or looking at which percentile does the current volatility correspond).
I am wondering if also intraday volumes have the same kind of properties that can be exploited somehow.
I see that some traders look at volume profiles and use indicators like VWAP (volume-weighted averaged price) and PVP (peak volume price, thus the price where the largest intraday volume was traded). In general they assume that intraday volumes tend to generate a symmetric distribution thus following this kind of rule to forecast the price direction:
if the PVP>VWAP then the volumes distribution is skewed upside and this generates a "pressure" to prices to move downwards, at least untile the VWAP. With PVP
There is an exception to this rule: when the price action is on one the extremes of the volume distribution (e.g. price>PVP>VWAP) then the previous logic doesn't apply (even if the PVP>VWAP).
Is there any statistical evidence that intraday volumes actually tend to generate symmetric distributions thus making it possible to exploit the temporary skewness that is generated intraday?
Is there any study on that or anyone willing to share her/his experience on that?
Thank you for your help.