Intraday Analysis & Prediction of Volume Distribution on the Stockholm Stock Exchange : An exploratory study of volume distribution and automated trading

Sammanfattning: The purpose of this study is to create a model of prediction for the volume distribution. Due to the lack of previous studies on the subject, an exploratory approach is used, with the purpose of serving as a proof of concept for further research. By looking at all market data from the Stockholm stock exchange the volume distribution of individual order books are matched with a mixed beta distribution and scaled by a prediction based on a linear regression. The model provided in this study outperforms the floating mean by quite a good margin. Some days are, almost by definition, impossible to get an accurate prediction on. Intraday news with a big impact have a tendency to skew the results away from the predicted value. To remedy this the initial model is expanded by using intraday data to catch up on trends