{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,9,29]],"date-time":"2026-09-29T17:57:33Z","timestamp":1790704653931,"version":"4.1.0"},"posted":{"date-parts":[[2026]]},"group-title":"SSRN","reference-count":0,"publisher":"Elsevier BV","license":[{"start":{"date-parts":[[2026,1,1]],"date-time":"2026-01-01T00:00:00Z","timestamp":1767225600000},"content-version":"unspecified","delay-in-days":0,"URL":"https:\/\/www.uspto.gov\/ip-policy\/copyright-policy\/copyright-basics"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":[],"abstract":"<jats:p>Intra-daily trading volume forecasts are a key input for algorithmic trade execution. We introduce a forecasting methodology for large panels of assets that combines factor models with sparse vector autoregressions. The approach captures both market-wide common factors driving trading activity and the sparse network of volume spillovers among individual assets, consistent with a framework where information diffuses sequentially from leader to lagger stocks. We apply the methodology to a panel of 600 constituents of the STOXX 600 index spanning 16 European countries. We assess both the statistical accuracy and the economic value of the forecasts through an out-of-sample prediction exercise and a VWAP trade execution analysis. Results show that our methodology delivers significant statistical and economic gains relative to standard univariate benchmarks. The improvements are heterogeneous: the largest gains accrue to stocks with high network connectivity, while firm size also plays a significant role, consistent with the information diffusion mechanism underlying our approach.<\/jats:p>","DOI":"10.2139\/ssrn.7536058","type":"posted-content","created":{"date-parts":[[2026,9,29]],"date-time":"2026-09-29T16:58:10Z","timestamp":1790701090000},"source":"Crossref","is-referenced-by-count":0,"title":["Information Diffusion and Intra-daily Volume Forecasting in Large Panels of Stocks"],"prefix":"10.2139","author":[{"ORCID":"https:\/\/orcid.org\/0009-0000-4555-1090","authenticated-orcid":true,"given":"Ignacio","family":"Crespo","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"ORCID":"https:\/\/orcid.org\/0000-0003-4276-1468","authenticated-orcid":true,"given":"Christian T.","family":"Brownlees","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Serge","family":"Darolles","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Ga\u00eblle","family":"Le Fol","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"78","container-title":[],"original-title":[],"deposited":{"date-parts":[[2026,9,29]],"date-time":"2026-09-29T16:58:10Z","timestamp":1790701090000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.ssrn.com\/abstract=7536058"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2026]]},"references-count":0,"URL":"https:\/\/doi.org\/10.2139\/ssrn.7536058","relation":{},"subject":[],"published":{"date-parts":[[2026]]},"subtype":"preprint"}}