Steve2 Elite    Posts: 750 Joined: 10/11/2012 Location: Annapolis, MD  User Profile | Regarding gaps, OV users are but one set of users that might have a significant impact on a stock at market open. Presumably there are many other sets of players that for one reason or another might generate enough opening volume to influence price. While we can determine if OV generated opening volume is significant, we can't do that for other players. Perhaps we need to think about doing historical analyses of gaps on a stock by stock basis. If the frequency and size of gaps are increasing above historical norms then that might be cause for filtering out a stock whether or not OV is generating significant opening volume. I'm also in favor of slippage modelling. | |
