Trade Pattern on Warsaw stock exchange and prediction  of number of trades

Henryk Gurgul; Artur  Machno

doi:https://doi.org/10.59170/stattrans-2017-005

Trade Pattern on Warsaw stock exchange and prediction of number of trades

Henryk Gurgul Department of Applications of Mathematics in Economics, Faculty of Management, AGH University of Science and Technology, Al. Mickiewicza 30, 30-059 Krakow, Poland. , Artur Machno Department of Applications of Mathematics in Economics, Faculty of Management, AGH University of Science and Technology, Al. Mickiewicza 30, 30-059 Krakow, Poland. Statistics in Transition new series, vol. 18, 2017, 1, pages: 91-114 Published online: 1 March 2017 https://doi.org/10.59170/stattrans-2017-005

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ABSTRACT

The main goal of this paper is to present the method for describing and predicting trade intensity on the Warsaw Stock Exchange. The approach is based on generalized linear models, the variable selection is performed using shrinkage methods such as the Lasso or Ridge regression. The variable under investigation is the number of trades of a particular stock 5-minute interval. The main conclusion is that the number of trades during short intervals is predictable in the sense that the prediction, even based on relatively simple models, is with respect to statistical properties better than the prediction based on the random walk, which is used as a benchmark model

KEYWORDS

high frequency data, daily trade pattern, Warsaw Stock Exchange, market microstructure

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