engleski

Does multiple periodicity exist within a trading activity?

Better understanding of multiple seasonality patterns can be very helpful in capturing dynamics of trading volume and consequently improving the performance of trading algorithms and reducing the transaction costs. It is well known that high-frequency data exhibit periodic patterns in trading activity, i.e. intraday trading volume seasonality. Although multiple seasonality in price dynamics have been conducted in the literature there is a lack of studies covering multiple seasonality of trading activity considering intraday volume observations. Namely, advances in electronic trading have enabled recording high-frequency data and it is of great interest to discover not only if multiple seasonal components exist in trading volume, but also which component is most time-varying, which seasonal components are the strongest or weakest. For the same reason multiple STL algorithm based on Loess is employed due to its advantages against traditional decomposition methods.

STL decomposition ; multiple seasonality ; intraday trading data

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