jgotchev

Thank you for a lovely discussion, Jperl. I find a lot of validity and usefulness to your methods. I do have one question, though. Since the skew of the volume distribution is such an important part of your analysis, why not use other methods for estimating it. Rather than rely on the position of the mode so much, one could use the median or better yet, compute it in the classical way as the third moment of the volume distribution. The reason I ask is that a lot of times in the markets we have the PVP but also another price with almost as much volume. Also, sometimes there are clusters of volume that don't neccessarily include the PVP but could also act as a HUP. The point I am trying to make is that the relative position of the PVP and the VWAP is not always a reasonable estimate for the actual volume distribution skew and I was wondering if you have looked into it.