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:
- ARIMA for seasonality
- FFT transform
do sound promising, have been impractical in my experience. Are there any common techniques used around for this ?