The Truth of Trading

[natedredd10 10]

About your post I've quoted: Is there evidence to the contrary--that volume has no bearing on returns? I am most likely deeply misunderstanding what you mean, but isn't volume i.e. liquidity consumption at the root of all market returns? Or do you mean that volume right now has poor predictive value for price ten minutes from now? Maybe you mean neither.

 

If you pull up a price chart with volume plotted underneath..Do you see patterns or do you see noise, random fluctuations..If you only see random fluctuations its not because you are just unable to see what some dude wrote in a book in 1920 before electronic markets and fragmentation algorithms.

If I'm selling something on ebay with a starting price of 100 bucks, it doesn't really matter what the volume of bids is if 2 bots bid it up to 102 bucks in 99 penny increments if someone is willing to bid 105..matters even less then if the bots are willing to bid another 50 times up to 106.

150 bids vs 2 guys making 4 bids could end up at exactly the same price there. Of course, this is more complex in a double auction. 150 lot print doesn't mean much if a fragmentation algo is willing to pay a higher average price over 150 1 lot prints spread out farther in time. All that does is make a volume chart look random.