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[Yamada] "One of the technical analyst's key tools is the measure of volume. Volume is the weapon of the bull. Stocks do not need volume to go down; they can fall of their own weight simply from an absence of demand. But all markets need incremental volume to go up. Volume is the empirical evidence of aggressive demand".
Five Powerful Volume Patterns, Farley, 2004
Here are five volume patterns that show considerable predictive power when interpreted correctly. Watch for these setups whenever you're flipping through your charts. Then realize how volume can yield vital information long before price action tells the tale.
Volume, Volume, Volume, Johnson, 2004
The main reason people are deceived by volume is they don't know when to consider it. Truth is, volume in most circumstances is absolutely useless, and ultimately, absolutely crucial. That's right - useless, but crucial. Think of it this way, on a 2,000-mile drive across country, how important is it that the car brakes work? The truth is, you could go without the brakes for 99% of the trip. But being able to use your brakes for just 1% of the trip will save your life. Take a rally within a down trending channel. Volume is very light on the advance, which could lead many bears to believe that the rally is doomed. I am not so sure that is correct. To me, it is just like cruising down the road within the down trending channel, without the need to use the brakes yet. In order to determine the importance of a rally we need to wait for a while until we get to the top of the channel. Along the way, within the meat of the channel, volume tells us very little. Volume can be huge or scarce in this abyss, it just doesn't matter yet. When approaching the top of a channel, only then I will pay attention to volume to see if we can breakthrough on increasing volume, consolidate the gains on low volume, then breakout within a week on moderate to high volume.

Market Statistics and Technical Analysis: The Role of Volume, Blume, Easley and O'Hara, 1994
"This research has documented a remarkably strong relation between volume and the absolute value of prices changes in both equity markets and futures markets. Volume is convex in price with its minimum at price equal to the prior expected value of the asset. As is apparent, large price changes (either positive or negative) tend to be associated with large volume. Volume is related to dispersion of beliefs. Trade occurs as individuals have differing signals. Trade does not disappear because although traders' beliefs are converging to a common belief their precisions are diverging at the same time. Intuitively, these effects can be explained by noting that in early periods traders may receive information indicating a wide discrepancy of price from true value, but because they are not very sure of the true value (i.e. their precision is low), they take limited positions. In later periods, when prices are close to true values, traders are more confident (precisions are high) and hence take a large positions to exploit even small price discrepancies. Our results on the distribution of volume dictate that these two effects essentially offset. Volume can be used by traders to indicate the quality of information signals coming in. This quality is changing over time in the model. For very uninformative signals volume is low since traders place very little confidence in these signals. As the precision of the signal increases, trading volume increases at first. However, when the informativeness of the signal gets very large trading volume starts to fall due to the fact that people are actually receiving very precise and highly correlated signals. This model also shows how the value of technical analysis depends critically on how informative new signals are for traders relative to prior information".

Persistence of the Dow Jones Index on Rising Volume, LeBaron, 1992
"This paper has demonstrated that there is evidence for increased persistence in the Dow Jones Index on rising volume. Persistence is directly related to the current rate of change of volume. Large volume may be associated with more negative or positive autocorrelations depending on whether there is informational asymmetry. Without informational asymmetry large volume indicates a large amount of buying or selling for liquidity reasons and the price should rebound quickly to its previous levels. In the presence of informational asymmetries large volume may be connected with persistence in price movements since the price does not fully reflect the private information of informed traders".
Forecasting Crashes: Trading Volume, Past Returns and Conditional Skewness in Stock Prices, Chen, Hong and Stein, 2002
"This paper is an investigation into the determinants of asymmetries in stock returns".
The Empirical Relationship Between Trading Volume, Returns and Volatility, Brailsford, 1994
"There is substantial interest in how trading volume is related to price movements in the stock market. A naive view of the market is that the greater the level of volume, the greater the price movement. However, instances can be found where a low level of volume is associated with large price movements and conversely, a high level of volume is associated with no change in price".
Psychological Factors, Stock Price Paths, and Trading Volume, Huddart, Lang and Yetman, 2002
"We examine the relation between the trading volume of a stock, expressed as a percentage of shares outstanding, and aspects of the stock's past price path. We find that volume is significantly higher (in both economic and statistical terms) in weeks when the current price exceeds the highest price attained in the prior year. The evidence is consistent with this highest prior price serving as a reference point used by investors in making trading decisions".
Most Recent Nasdaq Rally Fueled by Triple Q Action - Is Something Fishy?, Goldberg, 2004
"The trading in the Nasdaq 100 (QQQ-shares) has been disproportionately high compared to the volume of the entire Nasdaq over the last few weeks. Am I suggesting a "conspiracy theory", or is the trading action on the QQQ's just an aberration? Does the market suddenly favor index funds more so than it did just a few weeks ago, or are the Q's merely a trading vehicle for organized market manipulation? Can markets be manipulated over the short, intermediate, or even long term? Are they being manipulated now?"