PT  - JOURNAL ARTICLE
AU  - Venkatesh Satish
AU  - Abhay Saxena
AU  - Max Palmer
TI  - Predicting Intraday Trading Volume<br/>and Volume Percentages
AID  - 10.3905/jot.2014.9.3.015
DP  - 2014 Jun 30
TA  - The Journal of Trading
PG  - 15--25
VI  - 9
IP  - 3
4099  - https://pm-research.com/content/9/3/15.short
4100  - https://pm-research.com/content/9/3/15.full
AB  - This article discusses recent techniques and results in the area of forecasting intraday volume and intraday volume percentages. By exploring ways to predict volume, the authors seek to improve the performance of trading algorithms, many of which depend upon the volume that will trade while the order is active. Traditionally, algorithms use historical averages to predict volume over the lifetime of an order. The authors show that improving the prediction of volume boosts the performance of algorithms.TOPICS: Security analysis and valuation, statistical methods