Decomposing and Modeling of Intraday Volume of Chinese Stock Market Based on VWAP Benchmarks

Abstract: The decomposing and modeling of intraday volume for large security positions based on VWAP benchmarks in Chinese stock market are studied in this paper. The paper investigates that there are many factors having an impact on intraday volume, the results show that in Chinese stock market, common factors play an important role on the impact of volume. And the SETAR model that the paper present has the better performances on the estimation accuracy and implementation of VWAP strategies