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Quantitative Finance · Glossário

O que é Intraday seasonality, intraday volume profile?

Também chamado de: intraday seasonality · intraday volume profile

Definition 5.5 Research Craft: Predictors, Backtests, Measurement, Portfolios · Capítulo 5 — Stylised Facts of Returns

Intraday seasonality is the regular dependence of volatility, volume, spreads and trading activity on the time of day. The intraday volume profile is the average share of a day’s volume traded in each interval of the session.

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