Extensions, Insights, and New Departures in MIDAS Studies

Andrew Coles

It goes unnoticed to most people who read Paul Levine's lectures that Levine himself had begun exploring ways in which new techniques could be created from the MIDAS method. It has already been mentioned several times in this book that he was happy to combine MIDAS with other technical tools, such as conventional trend lines, the MACD, Bollinger Bands, and On Balance Volume.1 However, he had also begun exploring the possibility of developing new MIDAS indicators. For example, in Lecture 9 he imagined MIDAS as part of a sophisticated neural network running over a daily database of stocks. As part of this network, he envisaged three additional indicators:

  1. An “OBVR” ...

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