Forecasting Intraday Trading Volume: A Kalman Filter Approach-Reference-Cited by-同舟云学术

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Forecasting Intraday Trading Volume: A Kalman Filter Approach

Published:2016 Issue: Volume: Page:
ISSN:1556-5068
Container-title:SSRN Electronic Journal
language:en
Short-container-title:SSRN Journal

Author:

Chen Ran,Feng Yiyong,Palomar Daniel

Publisher

Elsevier BV

Reference32 articles.

1. A theory of intraday patterns: volume and price variability;A R Admati;Review of Financial studies,1988

2. The behavior of daily stock market trading volume;B B Ajinkya;Journal of accounting and economics,1989

3. Direct estimation of equity market impact;R Almgren;Risk,2005

4. Return volatility and trading volume: an information flow interpretation of stochastic volatility;T G Andersen;The Journal of Finance,1996

5. Optimal control of execution costs;D Bertsimas;Journal of Financial Markets,1998

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