Modelling financial volume curves with hierarchical Poisson processes
By Creighton Heaukulani, Abhinav Pandey, Lancelot F. James
Rating
1371
Battle Count: 109
Relevance
8/10
Highly relevant for modeling intraday trading volumes, which is crucial for trade execution strategies and liquidity analysis
Implementation Complexity
7/10
Requires implementation of complex Bayesian nonparametric models and MCMC inference algorithms
Reproducibility
4/5
The paper provides detailed model specifications and MCMC inference algorithm, but code is not explicitly provided
About this paper
Methodology: Hierarchical Poisson Process. Problem types: Time Series Modeling, Density Estimation.
The interactive Everscope explorer (charts, battles, favorites) loads below.