Predicting Intraday Trading Volume and Volume Percentages


Authored by FlexTrade's Max Palmer, Venkatesh Satish and Abhay Saxena, this article discusses recent techniques
and results in the area of forecasting intraday volume and intraday volume percentages.



This article discusses recent techniques and results in the area of forecasting intraday volume and intraday volume percentages. Why predict volume? A major reason is to improve the performance of trading algorithms, many of which depend upon the volume that will trade while the order is active. Traditionally, algorithms used historical averages when they needed to predict volume over the lifetime on an order. Improving upon this base case boosts the performance of the algorithm. In our study, we have shown that to be the case, and present our results in this article.

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FlexTrade is a global leader in broker-neutral, execution and order management trading systems for equities, FX, options, futures and fixed income. A pioneer in the field, FlexTrade introduced the first trading system that allowed clients to control and customize their proprietary algorithms while maintaining the confidentiality of their trading strategies. Change is the only constant in electronic trading. That's why FlexTrade is continuously upgrading its products and services. All can be tailored to meet the demanding requirements of a global client base of more than a 200 buy- and sell-side firms.
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