Francesco Calvori

University of Florence - Dipartimento di Statistica, Informatica, Applicazioni (DiSIA)

Viale Morgagni, 59

Florence, 50134

Italy

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Scholarly Papers (1)

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Go with the Flow: A GAS Model For Predicting Intra-Daily Volume Shares

Number of pages: 19 Posted: 11 Dec 2013
Francesco Calvori, Fabrizio Cipollini and Giampiero M. Gallo
University of Florence - Dipartimento di Statistica, Informatica, Applicazioni (DiSIA), Universita di Firenze, DiSIA (Dipartimento di Statistica, Informatica, Applicazioni) and Corte dei Conti - Italian Court of Audits
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Citation 3

Abstract:

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High Frequency Financial Data, Prediction, Trading Volumes, Volume Shares, VWAP, GAS