Using Exchange-Traded Funds Instead of Market Indices

The development of exchange-traded funds (ETF) in recent years has been a boon to traders and investors alike, allowing one to trade the ETF that's tracking a market index as if it were an individual stock. So, let's look at the application of MIDAS techniques to ETFs, as compared to the underlying indices. Since these ETFs trade exactly like stocks, with valid volume data for them readily available, all of the MIDAS techniques apply.

By design, the sponsor of the ETF keeps its price as close as it can to that of the underlying index (or, at a fixed ratio to the index, such as one-tenth the value). For a large, liquid ETF with robust trading volume, its price chart will be virtually indistinguishable ...

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