Spectral Volume Models: Universal High-Frequency Periodicities in Intraday Trading Activities

The authors thank Vincent Bogousslavsky, Agostino Capponi, Ermo Chen, Yufan Chen, Alex Chinco, Jean-Edouard Colliard, Lin William Cong, Mihai Cucuringu, Zhi Da, Thierry Foucault, Björn Hagströmer, Steven Kou, Dongfeng Li, Andrew Lo, Cameron Peng, Ioanid Rosu, Mehmet Sağlam, Ruodu Wang, Lan Wu, Dacheng Xiu, Mao Ye, Bart Zhou Yueshen, Chao Zhang, Gaochi Zhang, Chaoyi Zhao, two anonymous reviewers, and seminar and conference participants at the 2023 Asia Meeting of the Econometrics Society, the 2023 China FinTech Research Conference, the Seventh Peking University-The National University of Singapore Annual International Conference on Quantitative Finance and Economics, the Oxford Statistics and Machine Learning in Finance Seminar, Hong Kong University of Science and Technology-Guangzhou FinTech Thrust, Chinese Academy of Sciences, and Beihang University for very helpful comments and discussion; Xinyun Chen and Chaoyi Zhao for assistance in obtaining the New York Stock Exchange Trade and Quote data; and Gaochi Zhang for assistance in obtaining the Chinese data.