RT Journal Article SR Electronic T1 Predicting Intraday Trading Volume
and Volume Percentages JF The Journal of Trading FD Institutional Investor Journals SP 15 OP 25 DO 10.3905/jot.2014.9.3.015 VO 9 IS 3 A1 Venkatesh Satish A1 Abhay Saxena A1 Max Palmer YR 2014 UL https://pm-research.com/content/9/3/15.abstract 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