I recently read Marcos Lopez de Prado's book "Advances in Financial Machine Learning" where I was introduced to the concept of using volume/dollar bars instead of time bars. As far as I understand, whereas time bars have you taking a measurement every set time interval (ex. once per hour), using volume/dollar bars means you take a measurement of the asset every time a certain number of shares has been exchange (or, in the case of dollar bars, a certain number of dollars' worth of shares has been exchanged).

My question is this: Are volume/dollar bars designed solely for time-series analysis of a single variable? Is there any way I can use volume/dollar bars if I'm using multiple (and exogenous) predictors?

What I mean is that if I am correlating NASDAQ price with daily crude oil price (for example), if I use volume bars, does that mean I have to take measurements of both NASDAQ and crude oil at these irregular time intervals determined by NASDAQ's trading volume? This seems like a very difficult task, even when it comes to analyzing historical data.

Again, my question concerns how to align timestamps of different assets (with different volumes exchanged) when using volume bars in multivariate analysis.

My question was also asked here, but either I completely misunderstood the answer, or it didn't actually answer the question.

  • $\begingroup$ I have the same question. Have you come across a good answer for this? $\endgroup$
    – Parzival
    May 14, 2021 at 16:14
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    $\begingroup$ @Parzival I haven't come across a good "official" answer to this, but here's what I've come to on my own. Essentially, I think the only way to do "volume" bars for multivariate problems is if you sample all variables at the same time, which is determined by the "volume bars" of your dependent variable. For example, if you're looking at SP500 volume bars and you have 5 other variables, you have to sample all 5 other variables at the same moments as you sample your SP500 based on volume bars. Does that make sense? $\endgroup$ May 22, 2021 at 23:33
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    $\begingroup$ @Parzival So for example, if there's high volume and you therefore sample SP500 price 5 times in a single hour, you have to sample all other variables at those same 5 time points within that hour. $\endgroup$ May 22, 2021 at 23:34


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