CHAPTER 11

Four Relationships between Price and Volume and Their Impact on the Plotting of MIDAS Curves

Andrew Coles

The previous chapter voiced the need to analyze more thoroughly the changing relationship between volume, price, and MIDAS curves. In this chapter these relationships will be analyzed with a view to establishing guidelines for the implementation of standard curves plotted with cumulative volume versus nominal curves plotted with a nominal “1” in lieu of a market volume feed.

The first occasion when the price-volume relationship was referred to in Chapter 10 was amidst the comparison of the 24-hour intraday volume dynamics of the FX cash market versus the FX Globex futures shown in Figures 10.1 and Figures 10.2. There it was pointed ...

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