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'?)
We would like to be measuring: