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Oct
31
revised Vanna-Volga method to infer vol surface with just few realtime tick data
added 1 character in body
Oct
31
asked Vanna-Volga method to infer vol surface with just few realtime tick data
Oct
29
awarded  Editor
Oct
29
comment What is an efficient method to find implied volatility?
Just added the C# code.
Oct
29
revised What is an efficient method to find implied volatility?
Added the C# code I am currently using to find the IV. The algorithm fails to converge sometime and the code throw an exception.
Oct
29
comment What is an efficient method to find implied volatility?
Thanks for the comments. Could you please address me towards some solution implemented in C#/C++ based on the Dekker and Brent algorithm?
Oct
29
asked What is an efficient method to find implied volatility?
Oct
28
asked SABR calibration: simple explanation and implementation
Sep
18
awarded  Supporter
Aug
29
asked HAR-RV, realized GARCH and HEAVY model for realized volatility
May
8
answered What does “true”volatility mean in volatility comparison?
Mar
19
awarded  Teacher
Mar
12
answered Volatility tools / web sites?
Mar
5
comment Do intraday volume and volatility share the same properties?
Yes exactly. With volatility you can expect it to drop/revert when it is above the 90th percentile of its distribution. Intraday returns appear to be stationary thus implying that mean-reverting strategies can take advantage from this most of the time. It would be interesting to know if intraday volumes share the same properties or not. If the answer is yes, then it makes actually sense to use its statistical properties (through related indicators like PVP and VWAP) to make some "prediction" about the price future dynamics.
Mar
5
comment Do intraday volume and volatility share the same properties?
If that's the case, when you see some skewness, i.e. the mode/PVP is higher than the mean/VWAP, this means that the volumes are unbalanced and with skew on the upside. If the "true" distribution is symmetric, then the price should move down thus "accumulating" volumes to lower prices and peaking up those price levels. This way the original PVP that was creating the skew is no longer the mode of the distribution which, actually, should now appear to be more symmetric.
Mar
5
comment Do intraday volume and volatility share the same properties?
This is exactly the point. I was asking if there is evidence of this kind of behaviour. This is a technique that is used by those who use volume analysis when trading. This obviously doesn't mean that the analysis is actually this simple. I am just looking at part of the problem. But the question is: do intraday volumes have mean-reverting behaviour thus generating a symmetric volume distribution?
Mar
5
comment Do intraday volume and volatility share the same properties?
Suppose that during the day just 3 prices have been "touched": 9, 10 and 11. The numbers of contracts traded at 9 is 100, at 10 is 90 and at 11 is 87. This will be the "distribution" of the volumes for that day and you can calculate some statistics on it. Indeed, the mode (the peak volume price) is 9 because is the price at which the largest volume traded. The volume weighted average price will be: (9*100 + 10*90 + 11*87)/(100+90+87). So VWAP is 9.95. In this example, the mode is lower than the mean and (if the volume distribution is supposed to be symmetric) this should push prices up.
Mar
5
comment Do intraday volume and volatility share the same properties?
The PVP is the price at which the largest volume has been traded. If it is different than the VWAP this will create some skewness in the volume distribution. Indeed, the PVP is the mode of the distribution, while the VWAP is the mean. As long as the "true" volume distribution is supposed to be symmetric (thus implying mode and mean to be almost the same) then whenever the distance between the PVP and the VWAP increases (in absolute sense) this will pave the way to a mean-reversion in the price. As said, PVP>VWAP suggests that prices will move down.
Mar
5
comment Do intraday volume and volatility share the same properties?
Hi, for each single price during the day, we have the total volume traded at that price. This will create a distribution of volumes. Each price is weighted by the corresponding volumes traded at that price (VWAP). This average price will change during the day and will be the average price to which one would compare the current price. If the current price is above the VWAP it means that you are buying a contract at a price that is higher than what has been considered (on average) as fair price up to that moment (VWAP).
Mar
5
awarded  Student