Форум

Игорь, что-то крутится в голове мысль по поводу статистики на тиковых объемах

Все добрые старые асимметрия и эксцесс. Посмотрел что думает англоязычный мир по данной теме.

1. Попалась статья на английском: Measuring Skewness: A Forgotten Statistic?

Journal of Statistics Education, Volume 19, Number 2(2011)
David P. Doane Oakland University Lori E. Seward University of Colorado
Journal of Statistics Education Volume 19, Number 2(2011), www.amstat.org/publications/jse/v19n2/doane.pdf
Copyright © 2011 by David P. Doane and Lori E. Seward all rights reserved.

2. И еще один материал, который перекликается со статьей " Предвзятое среднее" и одновременно затрагивает асимметрию:
Trading With Market Statistics - LINKS

I have put this thread together because I wanted a place which had all the links for J.Perl's TRADING WITH MARKET STATISTICS threads for easier access.

Trading With Market Statistics I. Volume Histogram
Trading With Market Statistics.II The Volume Weighted Average Price (VWAP)
Trading with Market Statistics III. Basics of VWAP Trading
Trading with Market Statistics. IV Standard Deviation
Trading with Market Statistics V. Other Entry Points
Trading with Market Statistics VI. Scaling In and Risk Tolerance
Trading with Market Statistics VII. Breakout Trades at the PVP
Trading with Market Statistics VIII. Counter Trend Trades in Symmetric Distributions
Здесь автор излагает:
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In the discussion about VWAP in Part II, we introduced the concept of skew, a measure of how the volume distibution deviates from a symmetric or normal distribution. The sign of the skew allowed a new trader to decide in which direction he/she should look for a trade setup. Positive skew meant look for long trades only. Negative skew meant look for short trades only. We have yet to consider trading aspects in markets with symmetric distributions. Like breakout trades discussed in part VII, trading symmetric distibutions is an advanced concept. Not for newbies to be dabbling in.

A symmetric distribution is one in which the skew is very small or zero

Skew = (VWAP-PVP)/SD ~= 0.

There are a number of implications of this definition as follows:

1)a small skew means the VWAP is close to or equal to the PVP
2)Given a small or zero skew, it means that price action has moved across the VWAP at least once, otherwise the volume distibution could not be symmetric.

Now comes the kicker:
3)If the distribution is to remain symmetric, it must continue to oscillate across the PVP and hence the VWAP.

This implies trades of the following type:

If price moves to the 1st or 2nd SD above the VWAP pull the trigger SHORT.
If price moves to the 1st or 2nd SD below the VWAP pull the trigger LONG
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Trading with Market Statistics IX. Scalping
Trading with Market Statistics X. Position Trading
Trading with Market Statistics XI. HUP