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Improve volume forecasting accuracy by 40% on days of high market stress

part 2_ipadTo ensure trade execution quality, one needs an accurate market volume forecast together with a predictive control methodology to implement the execution schedule without placing undue pressure on the market and to protect an order from adverse selection.

While ARMA or ARIMA time-series models provide accurate daily volume forecasts in most circumstances, they can be wrong when the market is driven by unusual events and volume is higher. Since portfolio managers tend to trade more in such unusual circumstances, trade execution models need to be able to handle them effectively.

In this white paper, Event-Aware Forecasting, Part 2: Daily Market Volume, we describe a daily volume forecasting model that combines time-series forecasting with the effect of news. The model provides a same-day forecast as soon as the opening price is known; for next-day forecasts and deeper forecasting horizons, the model derives expectations of information shocks from the options markets.

Download the second white paper in our series to discover how the event-aware model accounts for:

  • Greater front-loading of market volume following overnight stress
  • Calendar events and news, including earnings announcements
  • Federal Open Market Committee (FOMC) announcement days
  • Short market days on holidays

Complete the form to download your free copy of our white paper, Event-Aware Forecasting, Part 2: Daily Market Volume.

Patrick Biddiscombe, CEO
At New Breed we believe Inbound is no longer just about filling your funnel. It is about customer acquisition and actually growing your business.

- Patrick Biddiscombe, CEO

Get the Event-Aware Model Forecasting White Paper