Improving VWAP strategies: A dynamical volume approach

Jedrzej Białkowski (), Serge Darolles and Gaelle Le Fol
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Jedrzej Białkowski: Department of Finance, Faculty of Business, Auckland University of Technology

No 06-08, Documents de recherche from Centre d'Études des Politiques Économiques (EPEE), Université d'Evry Val d'Essonne

Abstract: In this paper, we present a new methodology for modeling intraday volume which allows for a reduction of the execution risk in VWAP (Volume Weighted Average Price) orders. The results are obtained for the all stocks included in the CAC40 index at the beginning of September 2004. The idea of considered models is based on the decomposition of traded volume into two parts: one reflects volume changes due to market evolutions, the second describes the stock specific volume pattern. The dynamics of the specific part of volume is depicted by ARMA, and SETAR models. The implementation of VWAP strategies imposes some dynamical adjustments within the day.

Keywords: Intraday Volume; VWAP Strategies; Principal Component Analysis; Arbitrage (search for similar items in EconPapers)
Pages: 62 pages
Date: 2006
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Citations: View citations in EconPapers (1)

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Related works:
Journal Article: Improving VWAP strategies: A dynamic volume approach (2008)
Working Paper: Improving VWAP strategies: A dynamic volume approach (2008)
Working Paper: Improving VWAP strategies: A dynamic volume approach (2008)
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Persistent link: https://EconPapers.repec.org/RePEc:eve:wpaper:06-08

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