Chahid Ahabchane

Market participants who need to trade a significant number of securities within a given period can face high transaction costs. In this paper, we document how improvements in intraday liquidity forecasts can help reduce total transaction costs. We compare various approaches for forecasting intraday transaction costs, including autoregressive and machine learning models, using comprehensive ultra‐high‐frequency limit order book data for a sample of NYSE stocks from 2002 to 2012. Our results indicate that improved liquidity forecasts can significantly decrease total transaction costs. Simple models capturing seasonality in market liquidity tend to outperform alternative models.

Salting operations are essential but expensive in northern winters. We aim to predict the quantity of salt and abrasive needed for a specific road segment for each hour. An estimate of the quantity allows managers to better manage the loads in the trucks and to propose optimal vehicle routes based on the forecast, which will allow them to optimize costs. This article uses machine‐learning techniques based on truck telemetry data, weather conditions, and segment attributes. Geographic information systems (GIS) allow us to exploit the street‐network characteristics, which were ignored by previous prediction models. The results show that the XGBoost method performs better than other techniques (R² = 0.83).