Intra-Daily Volume Modeling and Prediction for Algorithmic Trading-Reference-Cited by-同舟云学术

Intra-Daily Volume Modeling and Prediction for Algorithmic Trading

Published:2010 Issue: Volume: Page:
ISSN:1556-5068
Container-title:SSRN Electronic Journal
language:en
Short-container-title:SSRN Journal

Author:

Brownlees Christian T.,Cipollini Fabrizio,Gallo Giampiero M.

Publisher

Elsevier BV

Reference34 articles.

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5. Improving vwap strategies: A dynamic volume approach;J Bia?kowski;Journal of Banking and Finance,2008

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3. Predicting Bid-Ask Spreads Using Long Memory Autoregressive Conditional Poisson Models;SSRN Electronic Journal;2011

4. A Bayesian Approach for Capturing Daily Heterogeneity in Intra-Daily Durations Time Series: The Mixed Autoregressive Conditional Duration Model;SSRN Electronic Journal;2010