Great article for Automated Trading Systems

this is a basic article. it's not for advance trader who already has his/her system.


"Abstract
The relationship between trading volume and securities prices is a complex one which, when
understood properly, can lead to many insights in portfolio theory. Over the past forty years,
much work has been done trying to understand this relationship. In this document, we will
attempt to introduce and discuss some of these papers. First, we introduce basic topics of
finance theory, such as the Capital Asset Pricing Model and two-fund separation. With this
knowledge, we proceed to discuss how volume and price move together, how unusual volume
can be a predictive measure of future price changes, and also how volume can allow us to infer a
hedging portfolio. In each case, we present theoretical models which support empirical results.
Finally, we analyze some sample price and volume data around the most recent quarter of
earnings announcements."


please check the http://ssg.mit.edu/~waltsun/docs/AreaExamTR2638.pdf