Forecasting intraday volume: Comparison of two early models

Balázs Árpád Szűcs

Finance Research Letters, 2017, vol. 21, issue C, 249-258

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: Intraday; Volume; Forecasting; Comparison (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:21:y:2017:i:c:p:249-258

DOI: 10.1016/j.frl.2016.11.018

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