Ran Chen

Hong Kong University of Science & Technology (HKUST)

Clear Water Bay

Hong Kong

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Forecasting Intraday Trading Volume: A Kalman Filter Approach

Number of pages: 16 Posted: 26 Apr 2018
Ran Chen, Yiyong Feng and Daniel Palomar
Hong Kong University of Science & Technology (HKUST), Hong Kong University of Science & Technology (HKUST) and Hong Kong University of Science and Technology (HKUST)
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Abstract:

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Algorithmic trading, EM, intraday trading volume, Kalman filter, Lasso, VWAP