A Ramping Market On Disappearing Volume: Volume-To-Price Correlation of -.81!

maserati

Submitted by Tyler Durden on 08/04/2009 13:03 -0500


If you want to ramp the market, do so on low volume days when your strategy is the dominant marginal price maker. Enter Exhibit A.

It is no surprise, yet is should be a total shock, that the correlation between market volume and price moves has gotten to a 7 year low of -0.81!

Aside from a few machines that allegedly provide liquidity yet really just buffer the complete lack of volume, nobody has been buying into the rally. Statistically - this amount of incredulity was last seen in 2002. And in the absence of real buyers and sellers, gunning the market is easier than taking candy from a baby... and avoids those 202 caller IDs.

Another way to describe the data: large volumes on major down days, nominal volumes on increasingly lighter up days.

soulvirus

挺奇怪的哈

谢谢三叉戟老大

seabiscuit

Thanks for sharing.    I am wondering how they actually calculated the correlation between price and volume for an underlying stock.  And this directly affects how we can interpret a value of -0.81 for SPY.

sds

又一踏空的，现在不明白，SPX到１２００的时候就明白了。