Unraveling the Dynamics of SPY Trading Volumes: A Comprehensive Analysis of Daily and Intraday Liquidity Trends

In this project, we investigate the accuracy of forecasting intraday and daily trading volume of the exchange-traded fund SPY. The ability to forecast volume over varying time intervals with high accuracy is a critical element to many trading strategies. After performing exploratory data analysis on intraday and daily SPY data we identify three methods for our analysis: ARIMA and ARIMAX models, with or without seasonality, as well as a Frequency Domain Process Representation. To evaluate predict...