It is interesting to consider whether the levels of volume of the major markets are normally distributed. Related to this is the question of whether a spell of low volumes is predictive of a undue likelihood of a high volume in the future. The question is related to vix predictivity also, but volume may be useful.

One hypothesizes that volume must be shot upwards from time to time for the public to have an adequate chance to lose more than their fair share, so THEY can take their emoluments to live well and cover their overhead.

One notes that volume has been inordinately in the 1 to 2 million area with only 4 days of 2 million volume so far this year for SP futures, and they have not been clustered. What is the hazard curve for a 2 million volume day? Does the lack of high volume days this year relate to all the people who were gipped by the MF bankruptcy or does it merely reflect the normal tendency of scholarly chairs to preclude big declines in an election year so that the stuck out nails in the public will remain small?

Are such queries relating to volume useful?


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