It is fun when insomnia, curiosity, and a good conversation lead to continuing research. Yesterday, I published a blog about the Dow Jones’ performance in 2018 link. One of my graduate program professors, David Flynn – whom I will shamelessly plug the blog of here: Barter Is Evil – replied about the relative calm period during the summer in the graph that showed daily volumes.

I became curious if the spread between the daily high and low price had any correlation with the daily volume. So I calculated it quickly:

## [1] 0.6296172

… and then created a graph to plot out the high-low spread to aid in the comparison:

David asked if I had looked at the high-low spread as a percentage of the opening price of the DJIA. So, I am going to do that quickly here. First, I calculate the percentage and then create a plot:

… and then do the same with regard to the closing price:

All of this is leading to further research which appears to begin with the work of Richard Roll and his 1984 paper “A Simple Implicit Measure of the Effective Bid‐Ask Spread in an Efficient Market”. So, on to some reading!