Applying the MIDAS Method to Price Charts without Volume

A Study in the Cash Foreign Exchange Markets

Andrew Coles

At the end of his lectures, Paul Levine began to investigate whether the MIDAS method could be applied to price series other than U.S. stocks. He looked at a variety of daily charts of U.S. and foreign stock indices, and his research suggested that MIDAS worked well enough on these new data sets. In this chapter I'll develop this program more extensively by applying the MIDAS method to the volumeless cash foreign exchange markets. Given the vital role that volume plays in the MIDAS method, this may seem like an eccentric and even mildly contradictory undertaking. However, readers can be assured that there's a method in ...

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