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Strange


Total Posts: 1648
Joined: Jun 2004
 
Posted: 2020-03-08 01:22
Are there good models out there for forecasting intraday volume? I.e. something that takes into account the intraday volume skew, the volatility etc.

'Progress just means bad things happen faster.’

willis


Total Posts: 25
Joined: Feb 2005
 
Posted: 2020-03-08 04:28
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.
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