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Trade Pattern on Warsaw Stock Exchange and Prediction of Number of Trades

Author

Listed:
  • Gurgul Henryk

    (Department of Applications of Mathematics in Economics, Faculty of Management, AGH University of Science and Technology, Al. Mickiewicza 30, 30-059 Krakow, Poland)

  • Machno Artur

    (Department of Applications of Mathematics in Economics, Faculty of Management, AGH University of Science and Technology, Al. Mickiewicza 30, 30-059 Krakow, Poland)

Abstract

The main goal of this paper is to present the method for describing and predicting trade intensity on the Warsaw Stock Exchange. The approach is based on generalized linear models, the variable selection is performed using shrinkage methods such as the Lasso or Ridge regression. The variable under investigation is the number of trades of a particular stock 5-minute interval.

Suggested Citation

  • Gurgul Henryk & Machno Artur, 2017. "Trade Pattern on Warsaw Stock Exchange and Prediction of Number of Trades," Statistics in Transition New Series, Polish Statistical Association, vol. 18(1), pages 91-114, March.
    • Handle: RePEc:vrs:stintr:v:18:y:2017:i:1:p:91-114:n:6
    DOI: 10.21307/stattrans-2016-059
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    References listed on IDEAS

    as
    1. Manganelli, Simone, 2005. "Duration, volume and volatility impact of trades," Journal of Financial Markets, Elsevier, vol. 8(4), pages 377-399, November.
    2. Alfonso Dufour & Robert F. Engle, 2000. "Time and the Price Impact of a Trade," Journal of Finance, American Finance Association, vol. 55(6), pages 2467-2498, December.
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    12. Luc, BAUWENS & Nikolaus, HAUTSCH, 2006. "Modelling Financial High Frequency Data Using Point Processes," Discussion Papers (ECON - Département des Sciences Economiques) 2006039, Université catholique de Louvain, Département des Sciences Economiques.
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    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    high frequency data; daily trade pattern; Warsaw Stock Exchange; market microstructure; C53; G17;
    All these keywords.

    JEL classification:

    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation

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