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So lets test if volume and price are independent. We can estimate this by using mutual information. When x and y are independent, their mutual information is 0 so measures of mutual information entropy should be zero. Lets calculate this for the IBM case with 10 years of daily closing price and data volumen. library(infotheo) ...


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Pring was (probably) simply referring to the fact that most indicators are function of price -- lots of different ways to twist and contort prices to define trends, reversal points, etc. Volume is another parameter entirely, as it doesn't depend on price; the market or share price can have an up day on average, high, or low volume, it can have a down day on ...


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The variable surely should be the percentage volatility. Moreover, it should not be the asset volume, because the volume can be interpreted as liquidity risk proxy measure too, and, so, it should be participated in the TypeLiquidity variable (or variables set). See, for instance, at: Fong, Kingsley YL, Craig W. Holden, and Charles Trzcinka. "What are ...


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The relation between volume and the price dynamics (via volatility and jumps), has been explored by various academic papers. Just cite this one and its contained references: Wang, T., & Huang, Z. (2012). The relationship between volatility and trading Volume in the Chinese Stock Market: A volatility decomposition perspective. Annals of Economics and ...



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