Forecasting intraday volume: Comparison of two early models

- Aim: Compare intraday volume forecasting models of the literature.
- Models: Bialkowski et al. (2008) and Brownlees et al. (2011).
- Intraday data: 11 years of 33 NYSE and NASDAQ shares.
- Findings: The former model is more accurate and much faster to estimate.

There are few intraday volume forecasting models in the literature, and they do not reflect on each other regarding forecast performance. This paper compares two models that are often referenced: the model of Bialkowski et al. (2008) to that of Brownlees et al. (2011) using intraday data that covers 11 years of 33 NYSE and NASDAQ shares. The former is found to produce more accurate forecasts, while its estimation is faster by several orders of magnitude.