skip to content

Faculty of Economics

CWPE Cover

Ito, R.

Spline-DCS for Forecasting Trade Volume in High-Frequency Finance

CWPE1606

Abstract: We develop the spline-DCS model and apply it to trade volume prediction, which remains a highly non-trivial task in high-frequency finance. Our application illustrates that the spline-DCS is computationally practical and captures salient empirical features of the data such as the heavy-tailed distribution and intra-day periodicity very well. We produce density forecasts of volume and compare the model's predictive performance with that of the state-of-the-art volume forecasting model, named the component-MEM, of Brownlees et al. (2011). The spline-DCS significantly outperforms the component-MEM in predicting intra-day volume proportions.

Keywords: order slicing, price impact, robustness, score, VWAP trading

JEL Codes: C22 C51 C53 C58 G12

Author links:

PDF: http://www.econ.cam.ac.uk/research-files/repec/cam/pdf/cwpe1606.pdf

Open Access Link: https://doi.org/10.17863/CAM.1091