Reducing the risk of VWAP orders execution - A new approach to modeling intra-day volume
Résumé
This paper proposes a new dynamic approach to modelling intra-day trading volume based on factor models. It assumes that intra-day volume can be decomposed into two parts each predicted using separate time-series models. By enabling more accurate prediction of intra-day volume, this methodology allows for a significant reduction in the cost of executing Volume weighted Average Price orders.
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reducing-the-risk-of-vwap-orders-execution-a-new-approach-to-modelling-intra-day-volume.pdf (394.06 Ko)
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