Forecasting Intraday Trading Volume PDF Download

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Forecasting Intraday Trading Volume

Forecasting Intraday Trading Volume
Author: Ran Chen
Publisher:
Total Pages: 16
Release: 2018
Genre:
ISBN:
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An accurate forecast of intraday volume is a key aspect of algorithmic trading. This manuscript proposes a state-space model to forecast intraday trading volume via the Kalman filter and derives closed-form expectation-maximization (EM) solutions for model calibration. The model is extended to handle outliers in real-time market data by applying a sparse regularization technique. Empirical studies using thirty securities on eight exchanges show that the proposed model substantially outperforms the rolling means (RM) and the state-of-the-art Component Multiplicative Error Model (CMEM) by 64% and 29%, respectively, in volume prediction and by 15% and 9%, respectively, in Volume Weighted Average Price (VWAP) trading.

The Science of Algorithmic Trading and Portfolio Management

The Science of Algorithmic Trading and Portfolio Management
Author: Robert Kissell
Publisher: Academic Press
Total Pages: 492
Release: 2013-10-01
Genre: Business & Economics
ISBN: 0124016936
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The Science of Algorithmic Trading and Portfolio Management, with its emphasis on algorithmic trading processes and current trading models, sits apart from others of its kind. Robert Kissell, the first author to discuss algorithmic trading across the various asset classes, provides key insights into ways to develop, test, and build trading algorithms. Readers learn how to evaluate market impact models and assess performance across algorithms, traders, and brokers, and acquire the knowledge to implement electronic trading systems. This valuable book summarizes market structure, the formation of prices, and how different participants interact with one another, including bluffing, speculating, and gambling. Readers learn the underlying details and mathematics of customized trading algorithms, as well as advanced modeling techniques to improve profitability through algorithmic trading and appropriate risk management techniques. Portfolio management topics, including quant factors and black box models, are discussed, and an accompanying website includes examples, data sets supplementing exercises in the book, and large projects. Prepares readers to evaluate market impact models and assess performance across algorithms, traders, and brokers. Helps readers design systems to manage algorithmic risk and dark pool uncertainty. Summarizes an algorithmic decision making framework to ensure consistency between investment objectives and trading objectives.

Forecasting Volatility in the Financial Markets

Forecasting Volatility in the Financial Markets
Author: Stephen Satchell
Publisher: Elsevier
Total Pages: 428
Release: 2011-02-24
Genre: Business & Economics
ISBN: 0080471420
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Forecasting Volatility in the Financial Markets, Third Edition assumes that the reader has a firm grounding in the key principles and methods of understanding volatility measurement and builds on that knowledge to detail cutting-edge modelling and forecasting techniques. It provides a survey of ways to measure risk and define the different models of volatility and return. Editors John Knight and Stephen Satchell have brought together an impressive array of contributors who present research from their area of specialization related to volatility forecasting. Readers with an understanding of volatility measures and risk management strategies will benefit from this collection of up-to-date chapters on the latest techniques in forecasting volatility. Chapters new to this third edition:* What good is a volatility model? Engle and Patton* Applications for portfolio variety Dan diBartolomeo* A comparison of the properties of realized variance for the FTSE 100 and FTSE 250 equity indices Rob Cornish* Volatility modeling and forecasting in finance Xiao and Aydemir* An investigation of the relative performance of GARCH models versus simple rules in forecasting volatility Thomas A. Silvey Leading thinkers present newest research on volatility forecasting International authors cover a broad array of subjects related to volatility forecasting Assumes basic knowledge of volatility, financial mathematics, and modelling

Financial Cryptography and Data Security

Financial Cryptography and Data Security
Author: Joseph Bonneau
Publisher: Springer Nature
Total Pages: 689
Release: 2020-07-17
Genre: Computers
ISBN: 3030512800
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This book constitutes the thoroughly refereed post-conference proceedings of the 24th International Conference on Financial Cryptography and Data Security, FC 2020, held in Kota Kinabalu, Malaysia, in February 2020. The 34 revised full papers and 2 short papers were carefully selected and reviewed from 162 submissions. The papers are grouped in the following topical sections: attacks; consensus; cryptoeconomics; layer 2; secure computation; privacy; crypto foundations; empirical studies; and smart contracts.

The Trader's Book of Volume: The Definitive Guide to Volume Trading

The Trader's Book of Volume: The Definitive Guide to Volume Trading
Author: Mark Leibovit
Publisher: McGraw Hill Professional
Total Pages: 464
Release: 2011-01-07
Genre: Business & Economics
ISBN: 0071753761
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Learn how to translate the "language" of volume! Mark Leibovit, a leading market strategist and technical analyst with more than 35 years of trading experience, possesses a solid track record of predicting important movements in the financial market—including Black Monday of 1987, the bear markets of 2000 and 2008, and the “flash crash” of May 2010. Now, with The Trader’s Book of Volume, his secrets are yours! Focusing exclusively on volume technical analysis, The Trader’s Book of Volume describes the basics of volume, explains how to use it to identify and assess the strength of trade-worthy trends, and provides in-depth techniques and strategies for trading volume indicators for profit. With more than 400 charts and graphs, The Trader’s Book of Volume also exhaustively illustrates how readers can profit from a wide array of volume indicators, including: Broad Market Volume Indicators—Cumulative Volume Index, ARMS Index, Upside-Downside Volume, Nasdaq/ NYSE Volume Ratio, Yo-Yo Indicator Volume Indicators—Accumulation/ Distribution, Intraday Intensity, Negative Volume Index, On-Balance Volume, Open Interest Volume Oscillators—Klinger Oscillator, Chaikin Money Flow, Ease of Movement, Volume Oscillator Leibovit Volume Reversal IndicatorTM, the author’s proprietary methodology Under the author’s expert guidance, you can seamlessly incorporate Volume Analysis into your day-to-day trading program. Without a proper approach to Volume Analysis, Leibovit asserts, you’re essentially trading in the “land of the blind.” Use The Trader’s Book of Volume to gain the clearest view possible of market trends and react to them with the confidence and smarts for consistent trading success—and avoid every market crash the future holds.

Measuring, Forecasting and Explaining Time Varying Liquidity in the Stock Market

Measuring, Forecasting and Explaining Time Varying Liquidity in the Stock Market
Author: Joe Lange
Publisher:
Total Pages: 24
Release: 2008
Genre:
ISBN:
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The paper proposes a new measure of market liquidity, VNET, which directly measures the depth of the market. VNET is constructed from the excess volume of buys or sells during a market event defined by a price movement. As this measure varies over time, it can be forecast and explained. Using NYSE TORQ data, it is found that market depth varies positively but less than proportionally with past volume and negatively with the number of transactions. Both findings suggest that over the day high volumes are associated with an influx of informed traders and reduce market liquidity. The timing of events plays an intimate role in the analysis. High expected volatility as measured by the ACD model of Engle and Russell (1997) reduces expected liquidity. Finally, market depth is smaller when the one-sided trading volume is transacted in a shorter than expected time, providing an estimate of the value of patience.