April 19th, 2023, 5:34 pm
I haven't looked at volume as a prediction task, but I've used it before in these contexts:
- conditional for whether a relationship will hold or reverse
- a sign that a lot of people want to trade all of a sudden / I should dig deeper to see what that alpha is
- some alphas like rolling correlation between volatility and volume used to do well.
- had a few alphas that only worked when using volume bars which was neat.
That's about it though, wouldn't see prediction of volume as anything useful - maybe at an HFT timeframe since you are effectively predicting when a lot of people will be trading all of a sudden and that may add tons of jitter (for non-TradFi exchanges) / generally a sign to widen quotes.