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Are there any common practices to handle the volume spikes that occur near expiration of a futures contract?

I intend to use volume of futures contracts as a predictor. However, due to the rolling activity near the expiration, there are spikes around expiration. These tend to be asset specific (quarterly contracts, monthly contracts etc.). While time series techniques like:

  1. ARIMA for seasonality
  2. FFT transform

do sound promising, have been impractical in my experience. Are there any common techniques used around for this ?

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    $\begingroup$ In what context? $\endgroup$ – AlRacoon Dec 5 '19 at 20:05
  • $\begingroup$ @AlRacoon: I have added some context. Let me know if that helps. Apologies to leave it dangling. $\endgroup$ – whisperer Dec 9 '19 at 16:31
  • $\begingroup$ @whisperer: Depends on your thesis I would imagine. What do you think the volume would be signalling? What type of volume--net new interest? $\endgroup$ – AlRacoon Dec 9 '19 at 18:02
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    $\begingroup$ The volume varies with the number of days to expiration. When there are N days to expiration you can compare today's volume to the average volume in past contracts when there were likewise N days to expiration. (this would be a simple method of deseasonalization). $\endgroup$ – Alex C Dec 10 '19 at 17:57

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