Intra-daily volume modeling and prediction for algorithmic trading

Journal of Financial Econometrics

Volumn 9, Issue 3, 2011, Pages 489-518

  Brownlees, Christian T ^a   Cipollini, Fabrizio ^b   Gallo, Giampiero M ^b  

^a NEW YORK UNIVERSITY   (United States)

^b UNIVERSITY OF FLORENCE   (Italy)

Author keywords

Forecasting; GMM; Multiplicative error models; Traded volumes; Ultra high frequency data; VWAP

Indexed keywords

EID: 79960182469     PISSN: 14798409     EISSN: 14798417     Source Type: Journal    
DOI: 10.1093/jjfinec/nbq024     Document Type: Article

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