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Intraday volume percentages forecasting using a dynamic SVM-based approach

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Abstract

This paper proposes a dynamic model to forecast intraday volume percentages by decomposing the trade volume into two parts: The average part as the intraday volume pattern and the residual term as the abnormal changes. An empirical test on data spanning half-a-year gold futures and S&P 500 futures reveals that a rolling average of the previous days’ volume percentages shows great predictive ability for the average part. An SVM approach with the input pattern consisting of two categories is employed to forecast the residual term. One is the previous days’ volume percentages in the same time interval and the other is the most recent volume percentages. The study shows that this dynamic SVM-based forecasting approach outperforms the other commonly used statistical methods and enhances the tracking performance of a VWAP strategy greatly.

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Authors and Affiliations

  1. Department of Finance, Central China Normal University, Wuhan, 430070, China

    Xiaotao Liu

  2. International Business School, Shaanxi Normal University, Xi’an, 716099, China

    Kin Keung Lai

  3. Department of Management Sciences, City University of Hong Kong, Hong Kong, China

    Kin Keung Lai

Authors
  1. Xiaotao Liu
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  2. Kin Keung Lai
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Correspondence to Kin Keung Lai.

Additional information

This paper was recommended for publication by Editor ZHANG Xun.

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Liu, X., Lai, K.K. Intraday volume percentages forecasting using a dynamic SVM-based approach. J Syst Sci Complex 30, 421–433 (2017). https://doi.org/10.1007/s11424-016-5020-9

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  • DOI: https://doi.org/10.1007/s11424-016-5020-9

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