Summary

  • The phenomenon of price porosity has an opposite tendency I have named “price suspension” or “levitation.”
  • For the most part these phenomena are not, as Levine supposed, the result of an underlying indeterminacy in price behavior. They occur largely because of the high/low range problem; that is, the difference in range with regard to a price bar as this affects the MIDAS calculation going forward.
  • Where low price curves are calculated for uptrends and high price curves for downtrends, the porosity is very much reduced. However, low price curves are then often subject to the price levitation problem in uptrends, and high price curves suffer the same drawback in downtrends.
  • Several methods have evolved to deal with the porosity problem ...

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