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Predicting Intraday Trading Volume and Volume Percentages

Venkatesh Satish et al.

The Journal of Trading2018https://doi.org/10.3905/jot.2018.13.4.107article
ABDC C
Weight
0.40

What the paper says

This article discusses recent techniques and results in the area of forecasting intraday volume and intraday volume percentages. By exploring ways to predict volume, the authors seek to improve the performance of trading algorithms, many of which depend upon the volume that will trade while the order is active. Traditionally, algorithms use historical averages to predict volume over the lifetime of an order. The authors show that improving the prediction of volume boosts the performance of algorithms. <b>TOPICS:</b>Statistical methods, performance measurement

4 citations

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https://doi.org/https://doi.org/10.3905/jot.2018.13.4.107

Or copy a formatted citation

@article{venkatesh2018,
  title        = {{Predicting Intraday Trading Volume and Volume Percentages}},
  author       = {Venkatesh Satish et al.},
  journal      = {The Journal of Trading},
  year         = {2018},
  doi          = {https://doi.org/https://doi.org/10.3905/jot.2018.13.4.107},
}

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Predicting Intraday Trading Volume and Volume Percentages

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Evidence weight

0.40

Balanced mode · F 0.40 / M 0.15 / V 0.05 / R 0.40

F · citation impact0.15 × 0.4 = 0.06
M · momentum0.80 × 0.15 = 0.12
V · venue signal0.50 × 0.05 = 0.03
R · text relevance †0.50 × 0.4 = 0.20

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