# Tag Info

10

This is called momentum ignition, and it is illegal. Any "manipulative" behaviour is illegal. I quote the SEC: Manipulation is intentional conduct designed to deceive investors by controlling or artificially affecting the market for a security. Manipulation can involve a number of techniques to affect the supply of, or demand for, a stock. They include: ...

9

The best paper is probably Relative Volume as a Doubly Stochastic Binomial Point Process - James Mcculloch. In this paper the volume is modelled via a Point Process, and theoretical laws are derived (with confident intervals, etc). And we put elements about this in Market Microstructure in Practice, Chap 2.1. Volume curves are analyzed, not only during the ...

9

GARCH will work if volume has memory with some decay. AR will work if volume has mean reversion properties. Both of these are empirical questions and depend on the market. You should also consider if there are seasonal (day-of-week, monthly, quarterly effects) in which case you would want to add dummy variables. MA models will work well if volume behaves ...

9

For a stock market-listed security, volume typically represents the number of shares traded. The amount of money involved is called turnover or dollar volume. A further complication to this relates to the rules of each exchange. Only certain types of trades/trade conditions affect the price of the security. Similarly, only certain types of trades/trade ...

6

From your comments I have deciphered that what you actually want to know is what the maximum amount of size is that you can trade at any time. Holding aside exchange irregularities, the answer to this is the total amount of size on one side of the book in the direction that you want to trade (e.g. bid side if you want to sell), at the time that you want to ...

6

In fact if you make the time change $$t\rightarrow \int_{\tau\leq t} V_\tau d\tau$$ a TWAP is a VWAP. So just define the FWAP associate to a transform F: (you should ask to F to be an adapted stochastic process if you want to use models) $$t\rightarrow \int_{\tau\leq t} F(\tau) d\tau$$ You will have a new benchmark. The real question is "what do you ...

5

Pring was (probably) simply referring to the fact that most indicators are function of price -- lots of different ways to twist and contort prices to define trends, reversal points, etc. Volume is another parameter entirely, as it doesn't depend on price; the market or share price can have an up day on average, high, or low volume, it can have a down day on ...

5

The volume reported for the DJIA is the sum of the volumes (in shares) of the individual components, including trades executed on their respective primary markets only. For the 23rd of August, it looks like: Ticker Exchange Shares Traded MMM New York 496,789 AA New York 2,400,280 AXP New York 613,379 T New York 4,...

4

First: once you will have your liquidity indicator, you will need to know if the signal is worth the risk to go faster (or slower if it is a negative signal). Impulse control will tell you that: http://www.ceremade.dauphine.fr/~bouchard/pdf/BML09.pdf Optimal control of trading algorithms: a general impulse control approach, by Bruno Bouchard, Ngoc Minh Dang, ...

4

From my point of view, dynamic models like the one developped in Relative Volume as a Doubly Stochastic Binomial Point Process - James Mcculloch to provide a dynamic forecast of the volume does not improve significantly the forecasting comparing to a static volume curve forecast using historical data (last month intraday data, and an EWMA algorithm). I've ...

4

check this out Arctic. It's a Man AHL developed Mango DB for store their financial time series. Claimed to be really good. But i haven't try myself.

4

CFE calculates settlement price from quotes whether there was trading or not. "The daily settlement price for each VIX futures contract will be the average of the final bid and final offer for the VIX futures contract at the close of trading." CFE rule 1202(p) http://cfe.cboe.com/publish/cferulebook/cferulebook.pdf

4

Simple: Divide the share price by the split factor. Multiply the volume by the split factor. Let's use Apple's 7/1 split from Monday June 9, 2014 as an example. The split factor was 7/1 or 7. The closing price on Friday June 6, 2014 was 645.57 and the volume was 12497800. After the split, the closing price for Friday June 6, 2014 was adjusted to 92.22 ...

3

The settlement price is provided by the exchange, it doesn't contradict with the fact that the contract wasn't traded. It's a theoretical price calculated by the appropriate models. In many cases, especially outside of US where there is no continuous market making, the exchange will provide a settlement price for a futures or options contracts in the end of ...

3

Firstly, Volume doesn't equal movement. The best thing is to look at what it represents. SHV is the iShares Short Treasury Bond ETF. This means it tracks short-term treasury bonds. Many forms of balanced portfolios require some portion of funds in bonds. This ETV is an easy vehicle to get fractional exposure to bonds. As far as "has not moved much" is ...

3

What you refer to is called Layering, this is absolutely forbidden on every market as you would volontarily send misleading signal as to volume and then price. Regulators have been fining people A LOT recently for such market manipulations as they are obvious. Do not attempt to do such things !

3

I deal recently with some analysis of the Volume time series, daily volume in € for European stocks. I found out that an ARIMA model works well. But, some EWMA could also provide good forecast if it's well parameterized. You can also face some seasonality effect due to macroeconomic events, some you may need to clean you data and treat these days in a ...

3

Actually your question englobes many questions. In my opinion, you shouldn't only focus on the total volume you're going to execute on a specific day, but also on how you're going to split it into meta-orders(orders of small amounts) all over the day. You need to have: A model for daily volume (which i think is what are you looking for, then an ARIMA(3-5, ...

3

"does the underlying usually see increased trading?" Not necessarily. Most market makers do not re-hedge much in the underlying. In many markets the delta is exchanged (off-exchange) alongside the options trade at initiation, making both parties delta neutral at the outset. Re-hedges in large vol books are generally accomplished through other options and ...

3

Trivially, buy == sell volume, as discussed in other answers. Yet this is a fair question, as there is benefit to look at lift volume vs hit volume. The former balances over longer horizons, and latter may have value in intraday moves. I think that is what ZH suggests. It is likely that, when prices move rapidly, there is a significant weight on one side of ...

2

You are referring to the Penny Pilot Program. Only options whose premiums are quoted at a price less than \\$3 may be eligible for penny increments, except for IWM, QQQ, and SPY, which are always quoted in pennies. The list of permitted classes doesn't seem to come from specific volume criteria. Instead, the SEC and the exchanges together roll-out names in ...

2

Try the following : perform the logarithmic transformation of the volume data. check if the transformed data fits the normal distribution nicely. if you are working with intraday volume, then adjust for the seasonality for time of the day effect, if using daily data, in some cases some special seasonalities like expiry day, etc might be applied but it may ...

2

Not to over simplify, but there is the different scaling to consider here as well. Volumes and volume changes are observed in 1000s and 100s, while prices and price changes are observed in 100s and 1s. For most medium and smaller stocks prices and price changes are observed in 1s and 0.01s. Clarify this through the identity Var(aX) = a²Var(X). Since the ...

2

You must look at passive volumes available on certain levels in orderbook, that feature is called market depth. There is a possibility that daily volume is correlated somehow with depth on market levels around a price, but I think you must gather some data and model that relationship when you want do that in this way.

2

No, because the volume does not indicate the price change. E.g. the price change might net to zero over all times.

2

As @Nicholas said in a comment KX/KDB+ is popular in finance for this purpose. Direct message passing and local aggregation on the machine may be the best method in this case IMO.

2

There are many different databases out there, all specialized for different use cases. The main parts you should consider are: Using a time series database, since they can handle timestamped data (e.g. ticks) more efficient than any SQL solution can by using bucketing and other methods. Using a database with a good query language, for example to aggregate ...

2

You must not use "tomorrow"'s data to normalize "today"'s one. So it is not a good idea to use global min/max, mean/std ... across the whole time series window. The same true is for "cycles" - you can't use data from the end of the cycle to normalize data in the beginning of the cycle. So, at every time point of your time series you may do any kind of ...

2

By definition buy=sell volumes. You need a counter-party to make "volume" happen, therefore the cumulative buy=cumulative sell volume. Volume is predicated on your time frame, if you make 1 minute charts the volume will be determined on the minute open and close price for coloration. there is no "buy volume" and "sell volume".

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