feledy.org

This TWAP2 model is slightly different than many others you may have encountered. Here we use the Durbin-Watson Statistic combined with the Spearman’s rank correlation coefficient and Pearson product-moment correlation coefficient in combination with the exponentially weighted average volatility of the prior ten days of trading, when regressed against our dynamically updated quintic degree polynomial total market response curve, all combined with our own special secret sauce…

Rick Labs