Quintet Volume Projection

Vladimir Markov, Olga Vilenskaia and Vlad Rashkovich

Papers from arXiv.org

Abstract: We present a set of models relevant for predicting various aspects of intra-day trading volume for equities and showcase them as an ensemble that projects volume in unison. We introduce econometric methods for predicting total and remaining daily volume, intra-day volume profile (u-curve), close auction volume and special day seasonalities and emphasize a need for a unified approach where all sub-models work consistently with one another. Historical and current inputs are combined using Bayesian methods, which have the advantage of providing adaptive and parameterless estimations of volume for a broad range of equities while automatically taking into account uncertainty of the model input components. The shortcomings of traditional statistical error metrics for calibrating volume prediction are also discussed and we introduce Asymmetrical Logarithmic Error (ALE) to overweight an overestimation risk.

Date: 2019-04
New Economics Papers: this item is included in nep-ecm
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Published in Automated Trader Magazine, Issue 44, Q1, 2018

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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1904.01412

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