Intraday Volume Curve Prediction

41 Pages Posted: 9 Jan 2021

Date Written: March 13, 2015

Abstract

We review some methodologies used to predict the intraday volume percentage curve, the intraday volumes as well as the closing auction volume. The methods can be very simple (average of historical curves), parametric (cubic function) or very sophisticated (linear model with real-time indicators). We use intraday data of CAC40 stocks from 01 April, 2014 to 31 December, 2014 to back-test these methods. We found that the best method to forecast the intraday percentage curve is the cubic method, justifying by volume-based metrics like Mean of Absolute Error (MAE) or Mean of Squared Error (MSE). However, when replacing the metric by the tracking error (TE), the non-linear model, fitting a regression tree with real time indicators, performs better than the others. It reduces the mean and median of TE 2%, compared with the historical median method. Concerning the prediction of raw volumes, the polynomial with correction outperforms the others in reduction the MAE 25% in mean and 31% in standard deviation compared to the historical method. The same method also provides the best forecast for closing volume. Evidence confirming the robustness of the improvement is also discussed and provided.

Keywords: intraday volume, auction volume, linear model, seasonality, cubic function, regression tree

JEL Classification: C13, C53,G12

Suggested Citation

Dang, Ngoc-Minh, Intraday Volume Curve Prediction (March 13, 2015). Available at SSRN: https://ssrn.com/abstract=3732773 or http://dx.doi.org/10.2139/ssrn.3732773

Ngoc-Minh Dang (Contact Author)

State Street Global Markets

Hong Kong
China

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Downloads
70
Abstract Views
292
rank
412,155
PlumX Metrics