Volume Pattern Forecasting

Eshan · June 26th, 2008, 1:50 pm

Hi!Please suggest on modelling Volume Pattern for Intraday movements of liquid stocks/ indices. If you can suggest some reference material/ or book that would be great. I have gone through Kissel: optimal trading.Thanks in advance.Eshan Ahluwalia

street · June 26th, 2008, 2:29 pm

Search the Forums for one of the VWAP/TWAP threads. There were some good links posted therein.Good Day Sir.

ronm · June 28th, 2008, 10:17 pm

Hi Street, can u please clarify on the terms u have used here : VWAP/TWAP?Regards,

Eshan · June 28th, 2008, 10:35 pm

VWAP := Volume Weighted Average Price and TWAP:= Time Weighted Average Price. He is referring to the Algo trading in which intraday volume pattern forecasting is relevant.google them.