Volume indicates investor  interest and dissagreement.

You can use a long run moving average (industry) and a short run (company) and check for crossovers and possible large deviations. There are also other technical indocators which take into account volume (Williams %).

You can also regress on moving time intervals change in volume of company say A on change in volume of  the industry and get a kind of b coeffcient for company's  volume. You expect that coefficient  to be positive under normal conditions.

Best and good luck!

Thank you Christos. Questions:

Great Point on Moving Averages. I think you rather meant to say a Long run of Company v/s a short run of Industry. When Company long run crosses over industry short run that pattern has information value to predict that there is either accumulation or distribution in a company's socks. So it's more of a firm specific movement rather than industry wide. Which is what i call an "Anomaly".

Please confirm my understanding?

Yes the basic idea is that.

short run MA crosses from

1. below to above the long run

2. above to below the long run

@Sajid: Are you referring to ConnorsRSI bytheway? Also can you explain your answer abit?

Have you thought of using the firm's (perhaps relative to its industry's) turnover ratio rather than trading volume directly in your chosen measure? The turnover ratio is a measure of a stock's popularity and works internationally to create a volume effect that my coauthors and I show boosts momentum profits significantly:

http://www.mfsociety.org/modules/modDashboard/uploadFiles/journals/googleScholar/1176.html

The Lee and Swaminathan (2000) article is the start of this line of research.

@Graham: Thank you for the paper Prof.

Before i dive deep into the paper i want to clarify few thing:

stock’s turnover ratio = turnover is the ratio of the number of

shares traded that month to the number of shares outstanding at the end

of the month

Questions:

1) Are you taking the avg traded volumes in a month as numerator?

2) By Outstanding shares you mean the Floatable shares (usually with Non-strategic investors aka Retail) or the total outstanding shares issues by firm?

I believe the floatable will be appropriate.

3) This ratio talks about the magnitude or interest and not the direction right?(vol on up price trend or down price trend)

4) Also, i believe instead of a whole month a shorter window will be able to capture sudden noise (usually in trading manipulation or insider trading). A longer window will dilute the impact of noise and will be less noticeable. 

A longer window is apt for detecting a strategic accumulation, when the accumulation is spread across trading days and done gradually rather then in a noise.

Please comment on my thoughts.

@Jimmie: Thanks Prof.

1) Noise is usually detected when there is insider trading before an valuation sensitive disclosure upcoming. In case of strategic accumulation there is no noise, it's rather gradual volumes accumulated to keep off the "price discovery" by professional buyers (the Goldman sach kind of guys).

However, MA will be able to address both.

Now my question is, there are many types of MAs today simple, exponential, adaptive etc. Any thoughts on what fits better for our purpose?

2) A good point on why we need RSI i we have the MA trends already. Can I ask you in which case you think RSI is a better measure?

3) Why do you think that "consistent correlation" among companies whole MA are being compared?

I am taking all the companies in an Industry for example "Tea Manufacturers". And I would assume that all companies under this industry will be sensitive to common external dynamics since all belong to same industry. So I would assume there is a inherent "consistent correlation".

Then also I should make sure that there is "consistent correlation"? If so, Why?

Dear Ankur

i think the best indicator is correlation between volumn of stock and industry (use volumn in log form)

besides, you may want test test the correlation between volatilities of them to have more information

best