May 2011
Intermediate to advanced
464 pages
13h 30m
English
Andrew Coles
It was emphasized in the introduction that this book is not about Volume Weighted Average Price (VWAP) but a particular development of it in the MIDAS approach of Paul Levine. This point requires re-emphasis at the start of the book because at the time of writing there's a lively surge of interest in VWAP. As a result, it's becoming harder for newcomers to this area to differentiate between what lies within the ambit of Levine's contributions and what lies outside of it. A timely first aim of this chapter therefore will be to highlight a number of boundaries to the MIDAS approach in relation to its VWAP background.
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