Wavelet decomposition for intra-day volume dynamics

Jaisimha Manchaldore, Imon Palit and Oleg Soloviev

Quantitative Finance, 2010, vol. 10, issue 8, 917-930

Abstract: In a follow up to a previous paper where a model was presented for intra-day volume dynamics, we use wavelet decomposition for model parameter estimation. We run Monte-Carlo simulations of the model with these estimated parameters and compare with observed volume curves. This model in its calibrated form can be used for various execution strategies, e.g. in estimation of potential slippage deviations from VWAP benchmarks.

Keywords: Applied mathematical finance; Derivative pricing models; Econophysics; Trading strategies (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (19)

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DOI: 10.1080/14697680903369484

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