A deep network trained jointly across S&P 500 stocks, using order-book predictors and volume commonality, roughly doubles out-of-sample predictability of intraday volume versus the CMEM benchmark.
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Forecasting Intraday Volume in Equity Markets with Machine Learning
A deep network trained jointly across S&P 500 stocks, using order-book predictors and volume commonality, roughly doubles out-of-sample predictability of intraday volume versus the CMEM benchmark.