Reducing the risk of VWAP orders execution - A new approach to modeling intra-day volume

Jedrzej Bialkowski, Serge Darolles and Gaelle Le Fol
Additional contact information
Jedrzej Bialkowski: University of Canterbury [Christchurch]

Post-Print from HAL

Abstract: 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.

Keywords: intra-day trading volume; execution risk; Volume Weighted Average Price order; trading costs in securities markets; Modeling (search for similar items in EconPapers)
Date: 2012
Note: View the original document on HAL open archive server: https://hal.science/hal-01632822v1
References: View references in EconPapers View complete reference list from CitEc
Citations:

Published in JASSA, 2012, 1

Downloads: (external link)
https://hal.science/hal-01632822v1/document (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-01632822

Access Statistics for this paper

More papers in Post-Print from HAL
Bibliographic data for series maintained by CCSD ().