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6
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273 views

Do intraday volume and volatility share the same properties?

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 ...
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vote
0answers
12 views

Estimating Number of “Day Trades” from Total Volume of Commodity Futures Contract

Looking at futures data I am trying to calculate/estimate the number of "day trades", i.e. positions that were initiated and closed during the same day, as distinct from those positions that were ...
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25 views

Chaikin Money Flow Persistence Formula

I am trying to create an approximation of the Accumulation/Distribution Rating using the Chaikin Money Flow Persistance indicator. I have the Chaikin Money Flow Formula as below, could anyone assist ...