forecasting volume
Posted: 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.
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.