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Article Dans Une Revue JASSA Année : 2012

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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Dates et versions

hal-01632822 , version 1 (15-11-2017)

Identifiants

  • HAL Id : hal-01632822 , version 1

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Jedrzej Bialkowski, Serge Darolles, Gaëlle Le Fol. Reducing the risk of VWAP orders execution - A new approach to modeling intra-day volume. JASSA, 2012, 1. ⟨hal-01632822⟩
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