instrument more statistics on broker activity

sbenthall / SHARKFin

Simulating Heterogeneous Agents with Finance

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Open sbenthall opened 1 year ago

sbenthall commented 1 year ago

We would like to be measuring:

the extent to which the buy/sell sides of the broker activity are balanced (i.e, 1000 /1000) vs. lopsided (1000 / 0, 0 / 1000)
autocorrelation of aggregate buys and sells
other measures of how noisy the 'retail investors' are. (Are they 'uninformed'?)