With tick level data I'm trying to understand the day's action:
- Whether the stock was being accumulated or distributed during the day and
- The buying and Selling pressure throughout the day
The first is to help me decide whether to take a position and the second one to filter intraday trading opportunity.
So far I've calculated up down price/volume based on "Quantifying Short Term Market Bottoms Using 90% Days and STI" (from the following site https://www.lowryresearch.com/Research/WhitePapers). But doing the analysis intraday does not produce any actionable insight.
I'm sort of out of ideas, hence this post. I'd appreciate very much if the community could:
- point me to any research papers done on this
- Recommend any books/articles that could be of use for my analysis
- Any ideas or process that might help me achieve my two objectives.
Thanks in advance!
Kind regards Joe