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Developing a Volume Forecasting Model

Author

Listed:
  • Bogdan Batrinca
  • Christian W. Hesse
  • Philip C. Treleaven

Abstract

This study builds a series of models to predict trading volume in European markets using different statistical methods. The analysis considers a number of aspects, such as special events (e.g. MSCI rebalances, futures expiries, or cross-market holidays), day-of-the-week effects, and the volume-price relation asymmetry, in order to perform contextual one-step ahead prediction. We investigate the prediction error for each calendar circumstance to infer a cross-stock event-oriented switching model for volume prediction. The study concludes by proposing a stock-specific out-of-sample metamodel that is fit by selecting an initial stock-specific model yielding the best performance for the most recent observations.JEL classification numbers: C32, C52, C53, G14, G15Keywords: Trading volume, expiry day effect, holiday effect, behavioral finance, European stock market, feature selection

Suggested Citation

  • Bogdan Batrinca & Christian W. Hesse & Philip C. Treleaven, 2017. "Developing a Volume Forecasting Model," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 7(1), pages 1-1.
    • Handle: RePEc:spt:apfiba:v:7:y:2017:i:1:f:7_1_1
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    References listed on IDEAS

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    More about this item

    Keywords

    trading volume; expiry day effect; holiday effect; behavioral finance; european stock market; feature selection;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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