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To: s-words who wrote (94222)4/15/2001 12:36:21 PM
From: UnBelievable  Read Replies (1) | Respond to of 436258
 
What I Am Looking For Is A Source From Which I Can Import Average Daily Volume.

It seems to me that a key factor of the cost to increase the price of a stock by x%, would be how many shares are usually traded. All things being equal it seems like it should be the case that the more thinly traded a stock is, the greater the effect of increasing the demand per additional share bought. These stocks would provide the most cost effective way in which the average could be manipulated directly.

I have no idea how the cost of influencing the average through the direct purchasing of stocks compares to the cost of doing so through the futures, I have noticed that there are cases where futures lead the market but there are other cases where the market is leading the futures.

While there is some correlation between market cap. and average daily volume it is not great.

It would be interesting to identify those stocks which have the greatest over weighting (in absolute terms) and the least average dollar adjusted daily volume. Once identified, these could be followed to see if an increase by a certain percent in average daily volume in one or more of these could be used as a signal for $NDX.