Trade Pattern on Warsaw Stock Exchange and Prediction of Number of Trades

Henryk Gurgul and Machno Artur ()
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Machno Artur: Department of Applications of Mathematics in Economics, Faculty of Management, AGH University of Science and Technology, Al. Mickiewicza 30, 30-059 Krakow, Poland

Statistics in Transition New Series, 2017, vol. 18, issue 1, 91-114

Abstract: The main goal of this paper is to present the method for describing and predicting trade intensity on the Warsaw Stock Exchange. The approach is based on generalized linear models, the variable selection is performed using shrinkage methods such as the Lasso or Ridge regression. The variable under investigation is the number of trades of a particular stock 5-minute interval.

Keywords: high frequency data; daily trade pattern; Warsaw Stock Exchange; market microstructure; C53; G17 (search for similar items in EconPapers)
Date: 2017
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Journal Article: TRADE PATTERN ON WARSAW STOCK EXCHANGE AND PREDICTION OF NUMBER OF TRADES (2017)
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Persistent link: https://EconPapers.repec.org/RePEc:vrs:stintr:v:18:y:2017:i:1:p:91-114:n:6

DOI: 10.21307/stattrans-2016-059

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