If you plot daily range versus daily volume for the S&P over a long time interval you get the following graph. I have included straight lines illustrating that 2 distributions (relationships) are apparent.

anonymous writes: 

Bill: Excellent visualization! This double hump result is surprising. Vic's random walk explanation was elegant and intuitive.

How does one intuitively explain the two humps? The most intuitive way would be a regime change of some sort — and primarily affects the measured volume.

Regime changes might be changes in market structure (i.e. HFT, commission-rate changes, plus-tick shorting rule changes, growth of ETF's, the way exchanges calculate volume including dark pools, etc.) The commonality of these regime changes is that there is a before-and-after …. so the second hump may be more/less pronounced after a give date??? If one were to do this scatter plotter for each year and make a moving slide show from the result, the result might look very differently…and give some interesting avenues for further research. 





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1 Comment so far

  1. Arch on September 1, 2017 5:53 pm

    What units are the axes?


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