Go with the Flow: A GAS model for Predicting Intra-daily Volume Shares
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More about this item
KeywordsHigh Frequency Financial Data; Prediction; Trading Volumes; Volume Shares; VWAP; GAS; Dirichlet Distribution;
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2014-03-08 (All new papers)
- NEP-ECM-2014-03-08 (Econometrics)
- NEP-FOR-2014-03-08 (Forecasting)
- NEP-MST-2014-03-08 (Market Microstructure)
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