Improving VWAP strategies: A dynamic volume approach

Jedrzej Bialkowski, Serge Darolles () and Gaelle Le Fol
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Jedrzej Bialkowski: Department of Economics and Finance - Université de Canterbury
Serge Darolles: DRM-Finance - DRM - Dauphine Recherches en Management - Université Paris Dauphine-PSL - PSL - Université Paris Sciences et Lettres - CNRS - Centre National de la Recherche Scientifique

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Abstract: In this paper, we present a new methodology for modelling intraday volume, which allows for a reduction of the execution risk in VWAP (Volume Weighted Average Price) orders. The results are obtained for all the 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 evolution; the second describes the stock specific volume pattern. The dynamic of the specific volume part is depicted by ARMA and SETAR models. The implementation of VWAP strategies allows some dynamic adjustments during the day in order to improve tracking of the end-of-day VWAP.

Keywords: Intraday volume; Factor models; Volume Weighted Average Price; VWAP strategies (search for similar items in EconPapers)
Date: 2008
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Citations: View citations in EconPapers (38)

Published in Journal of Banking and Finance, 2008, 32, pp.1709-1722

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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 dynamical volume approach (2006)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:halshs-00676946

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