Intraday End-of-Day Volume Prediction*

Alessio Sancetta

Journal of Financial Econometrics, 2021, vol. 19, issue 3, 472-495

Abstract: A model that predicts the total end-of-day volume and updates the prediction as new intraday information is observed and proposed. This model is a time-varying coefficients model which is estimated using the framework of functional data. Semiparametric constraints such as monotonicity of the time-varying coefficients can be imposed in the estimation. Results that allow us to derive confidence bands under a variety of scenarios including functions that lie at the boundary of the constrained set are given. In the empirical application we consider the end-of-day volume prediction of major Forex futures traded on the Chicago mercantile Exchange and show the benefits of the proposed methodology.

Keywords: functional regression; hypothesis testing; parameter at the boundary; restricted model (search for similar items in EconPapers)
JEL-codes: C14 C58 (search for similar items in EconPapers)
Date: 2021
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