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1 Markets I: The Ecosystem and Exchange-Traded Marketsالأسواق عبر الإنترنت 2 Markets II: Rates, FX and Creditالأسواق عبر الإنترنت 3 Markets III: Commodities, Energy and Cryptoالأسواق عبر الإنترنت 4 Quantitative Methodsالأساليب عبر الإنترنت 5 Derivatives and Volatilityالمشتقات عبر الإنترنت 6 Rates, Credit, XVA and Riskالفائدة والائتمان والمخاطر عبر الإنترنت 7 Research Craft: Predictors, Backtests, Measurement, Portfoliosالبحث عبر الإنترنت 8 Strategies I: Equities and Futuresالاستراتيجيات عبر الإنترنت 9 Strategies II: Volatility, Relative Value, Macro and the Bank Desksالاستراتيجيات عبر الإنترنت 10 Microstructure and Executionالتنفيذ عبر الإنترنت 11 Market Making and High-Frequency Tradingصناعة السوق عبر الإنترنت 12 Machine Learning for Marketsتعلم الآلة عبر الإنترنت 13 Low-Latency Softwareالتكنولوجيا عبر الإنترنت 14 Networks, Hardware and Trading Infrastructureالتكنولوجيا عبر الإنترنت 15 Research, Data and Risk Platformsالتكنولوجيا عبر الإنترنت 16 The Desk and the Firmالشركة عبر الإنترنت 17 The Industry: Firms, Roles and Careersالمسارات المهنية عبر الإنترنت 18 The Interview Bookالمسارات المهنية عبر الإنترنت
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Quantitative Finance · المسرد

ما معنى Intraday volume forecast؟

Definition 16.4 Microstructure and Execution · الفصل 16 — Benchmark Algorithms

An intraday volume forecast gives, before the open or as the day unfolds, the expected volume of each interval of the day, or its share of the day’s total; the intraday volume profile (One Quant Book 7, chapter 5) is its simplest form.

Intraday volume shares of one simulated stock: its average profile, the U with a run-up to the close, and two single days. On the news day the volume surges in bin 21, so every earlier bin’s share of the day falls below the profile. Data: mx_algos.flow.
Figure 16.1. Intraday volume shares of one simulated stock: its average profile, the U with a run-up to the close, and two single days. On the news day the volume surges in bin 21, so every earlier bin’s share of the day falls below the profile. Data: mx_algos.flow.
The schedule part of the VWAP slippage (root mean square of s√ D_k2, a stock with 2% daily volatility) for the five forecasters: 3 469 other stock-days and 331 high-volume ones. The level-plus-AR and PCA-ARMA dynamic schedules update during the day. Data: mx_algos.forecast_study.
Figure 16.2. The schedule part of the VWAP slippage (root mean square of s∑Dk2s\sqrt{\sum D_k^2}, a stock with 2% daily volatility) for the five forecasters: 3 469 other stock-days and 331 high-volume ones. The level-plus-AR and PCA-ARMA dynamic schedules update during the day. Data: mx_algos.forecast_study.
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