Multiple STL decomposition in discovering a multi-seasonality of intraday trading volume

DOI10.17535/crorr.2021.0006zbMath1482.91199OpenAlexW3173676713MaRDI QIDQ5021966

Josip Arnerić

Publication date: 17 January 2022

Published in: Croatian Operational Research Review (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.17535/crorr.2021.0006

zbMATH Keywords

Loesshourly seasonalityintraday volumemultiple seasonal patternsSTL decomposition

Mathematics Subject Classification ID

Financial markets (91G15)

Related Items (1)

Multiple seasonal STL decomposition with discrete-interval moving seasonalities

Uses Software

• forecast
• Forecast
• expsmooth
• fpp2

Cites Work

• Financial econometric analysis at ultra-high frequency: Data handling concerns
• Forecasting with exponential smoothing. The state space approach
• Forecasting time series with multiple seasonal patterns
• Short-term electricity demand forecasting using double seasonal exponential smoothing
• Jump robust two time scale covariance estimation and realized volatility budgets
• Modeling and Forecasting Realized Volatility
• A Tale of Two Time Scales

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