On This Day In Market History: NYSE Trading Volume Tops 1 Million Shares

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Its all well and good to know that high volume coincides with volatility and falling prices but how do we know we are going to be in a high volume period? It would be nice if we could quickly identify which trading days are likely to be high volume in real-time.

Again we will make use of the ambhas package for Python. We can create the copula with the following code:. Now suppose we observe that 1. The first value in the array is the mean for the prediction, i. The second value is the standard deviation of the prediction. The actual volume came in a little bit shy of 80 million, right at the lower bound of the IQR.

You can try it out for yourself by downloading the data here: PythonQuantitative Trading. PredictionStock MarketTrading Volume. Did you test the strategy that is short SPY if first minute volume is higher than a threshold and long otherwise? Daily stock market trading volume, Weighted Least Squares WLS can address the problem of heteroskedasticity, but you have daily stock market trading volume linear relationship and in a lot of implementations you daily stock market trading volume limited with Gaussian errors as well.

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April 6, 1. April 4, 1. March 31, 1. March 22, 0. PythonQuantitative Trading Tagged as: Also why did you use copulas and not WLS? Better living through road rage: Leave a Reply Cancel reply Enter your comment here Fill in your details below or click an icon to log in: Email required Address never made public. Post was not sent - check your email addresses! Sorry, your blog cannot share posts by email.

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But when transfer it to commodity futures market, since commissions in this market is relatively higher, about 5, net profits are not optimistic for many futures, at least in recent Chinese market. Also in research, we find that the number of previous transaction days we take and the percent of the value we use are related with the number of trading. The shorter time and smaller value percent we use, the more trading we do. However, we should determine the parameter combinations we use taking commissions into consideration.