MIDAS and Its Core Constituents

The Volume Weighted Average Price (VWAP) and Fractal Market Analysis

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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