Modelling of Intraday Stock Trading Volumes of Liquid International Companies: A Standard AR Structure or a Linear ACV Model?
Statistical and Economic Modelling: 45EcoModel 2025
In this paper we analyse intraday stock trading volumes of liquid companies and compare the modelling ability of standard autoregressive models for log trading volumes and alternative linear autoregressive conditional volume (ACV) models. We consider three AR models with normal distribution, while its conditional variance…