forecasting volume

Strange · Post by **Strange** » Sun Mar 08, 2020 1:22 am

Are there good models out there for forecasting intraday volume? I.e. something that takes into account the intraday volume skew, the volatility etc.

willis · Post by **willis** » Sun Mar 08, 2020 4:28 am

Every major prime broker will have an army of people trying to match VWAP, which requires good V or else you just get WAP, which doesn't have the same ring.

I would ask you coverage to ask their electronic trading modelers for recommendations. You may not get the calibration, but at least some info may help.