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Quantitative Finance · Glossário

O que é Intraday volume forecast?

Definition 16.4 Microstructure and Execution · Capítulo 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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