ECOM193 Statistical Machine Learning in Finance (2024)
Predicting Stock Volumes
Historical data, i.e. price (open, high, low, close) in pence and volume (cumulative daily volume
reported at 4:30pm UK time), on the following five selected UK stocks (see Table 1) from the start of January 2022 to the end of July 2024 are given in ukvol.csv.
Ticker Name
GLEN Glencore
VOD Vodafone Group
OCDO Ocado Group
BHL Bradda Head Lithium
APTA Aptamer Group
Table 1: Five selected UK stocks traded on the London Stock Exchange.
1. Research these stocks. What are they? What do they do? What are their general trading characteristics? [15 marks]
2. Carry out a suitable exploratory data analysis of each of the stocks. [25 marks]
3. Can you find a suitable model (or models) that helps you predict daily volume? Describe your model(s) in detail.
i. Apply your model(s) to the data.
ii. How well does your model(s) work, i.e. what is your fitting criterion or criteria? How have you considered in-sample versus out-of-sample error?
iii. What other data might you seek obtain in an attempt to improve your predictions? Justify your answer fully. [45 marks]
4. Briefly describe the advantages and disadvantages of your analysis overall. [15 marks]