In chapter 3 of "Value in Time", there is a section that talks about "Price Gap Corrections". It makes a good point regarding price gaps when calculating price rate of change. It states that price gaps throw off the divergence analysis between ROC and ER. Here is a quote from that section:
"Figure 3.14 shows for Darden Restaurants the price rate of change that was represented in Figure 3.5, but for which price gaps have now been eliminated."

My question is how exactly did you eliminate price gaps? How did you smooth them out? The chapter does not talk about any specifics.

Thank you.