MIDAS and Cash Foreign Exchange Markets
It will be helpful to begin by obtaining clarity on the question of what we as traders actually mean by market volume data. In his book Trading for a Living Alexander Elder1 distinguished three ways in which volume is reported in the financial markets.
- The least controversial is in terms of the actual number of shares or contracts traded. This method is often viewed as the most objective. Back in 1991 Elder cites the New York Stock Exchange as reporting stock data in this way.
- Another is in terms of the number of trades that took place. This approach is criticized for being less objective than the first because it does not distinguish between, say, a small three-unit trade and a significant 1,000-unit ...