• With a growing interest in VWAP among the trading community, the boundary between the MIDAS approach and the broader VWAP backdrop is becoming very unclear, especially in the labeling and use of curves. Clarity is required both on the mathematical differences between basic VWAP formulae and the MIDAS formula as well as on the theoretical differences.
  • The five main tenets that define Paul Levine's market philosophy help accentuate two theoretical factors that separate MIDAS from mainstream VWAP analysis: (i) the critical choice of where to launch MIDAS curves, and (ii) the use of multiple MIDAS curves.
  • The latter is based on the notion of a hierarchy of support and resistance that assumes a fractal interpretation of the financial markets ...

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