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There are few intraday volume forecasting models in the literature, and they do not reflect on each other regarding forecast performance. This paper compares two models that are often referenced:… Click to show full abstract
There are few intraday volume forecasting models in the literature, and they do not reflect on each other regarding forecast performance. This paper compares two models that are often referenced: the model of Bialkowski et al. (2008) to that of Brownlees et al. (2011) using intraday data that covers 11 years of 33 NYSE and NASDAQ shares. The former is found to produce more accurate forecasts, while its estimation is faster by several orders of magnitude.
Keywords:
two early;
volume;
intraday volume;
comparison two;
volume comparison;
forecasting intraday
Journal Title: Finance Research Letters
Year Published: 2017
Link to full text (if available)
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Journal Title: Finance Research Letters
Year Published: 2017
Link to full text (if available)
Share on Social Media: Sign Up to like & get
recommendations!