Purpose - For policymakers and participants of financial markets, predictions of trading volumes of financial indices are important issues. This study aims to address such a prediction problem based on the CSI300 nearby futures by using high-frequency data recorded each minute from the launch...

It is an important task to make predictions of trading volumes of financial indices to market participants. In the present study, we focus on this issue for the Chinese Stock Index 300 (CSI300) spot by exploring the high-frequency one-minute data spanning the launch date of the corresponding...