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Higher Moment Parameters in Trading

  • Thread starter Thread starter mmaher
  • Start date Start date

mmaher

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5/10/22
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I currently implement an indicator that calculates Skew and Kurtosis based on the VWAP instead of a traditional average but am looking to develop a fully automated strategy.

Usually, spikes in kurtosis find good tops and bottoms while skew provides direction. Does anyone have experience with these parameters and/or want to help develop this concept further?
 

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