Volume Forecasts Accuracy of E-Mini S&P 500 Futures: Evidence From Special Days

Volume and volatility forecasts form the core of any execution algorithm, specifically those following a VWAP strategy, such as QB’s STROBE and CLOSER algos. QB’s volume modeling is sophisticated in several ways as it adapts to regimes and seasonality such as roll-periods and month-ends. This article analyzes the volume profiles of ES futures, but the pattern is consistent across several futures.

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