Optimal slice of a VWAP trade
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Bibliographic InfoArticle provided by Elsevier in its journal Journal of Financial Markets.
Volume (Year): 5 (2002)
Issue (Month): 2 (April)
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Web page: http://www.elsevier.com/locate/finmar
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Foster, F Douglas & Viswanathan, S, 1990. "A Theory of the Interday Variations in Volume, Variance, and Trading Costs in Securities Markets," Review of Financial Studies, Society for Financial Studies, vol. 3(4), pages 593-624.
- Chan, K C & Christie, William G & Schultz, Paul H, 1995. "Market Structure and the Intraday Pattern of Bid-Ask Spreads for NASDAQ Securities," The Journal of Business, University of Chicago Press, vol. 68(1), pages 35-60, January.
- Parlour, Christine A, 1998. "Price Dynamics in Limit Order Markets," Review of Financial Studies, Society for Financial Studies, vol. 11(4), pages 789-816.
- Clark, Peter K, 1973. "A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices," Econometrica, Econometric Society, vol. 41(1), pages 135-55, January.
- Jain, Prem C. & Joh, Gun-Ho, 1988. "The Dependence between Hourly Prices and Trading Volume," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 23(03), pages 269-283, September.
- Bertsimas, Dimitris & Lo, Andrew W., 1998. "Optimal control of execution costs," Journal of Financial Markets, Elsevier, vol. 1(1), pages 1-50, April.
- Karpoff, Jonathan M., 1987. "The Relation between Price Changes and Trading Volume: A Survey," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 22(01), pages 109-126, March.
- Hu, Gang, 2009. "Measures of implicit trading costs and buy-sell asymmetry," Journal of Financial Markets, Elsevier, vol. 12(3), pages 418-437, August.
- Olivier Gu\'eant & Guillaume Royer, 2013. "VWAP execution and guaranteed VWAP," Papers 1306.2832, arXiv.org, revised Nov 2013.
- Gsell, Markus, 2008. "Assessing the impact of algorithmic trading on markets: A simulation approach," CFS Working Paper Series 2008/49, Center for Financial Studies (CFS).
- James McCulloch & Vladimir Kazakov, 2007. "Optimal VWAP Trading Strategy and Relative Volume," Research Paper Series 201, Quantitative Finance Research Centre, University of Technology, Sydney.
- Jedrzej Białkowski & Serge Darolles & Gaëlle Le Fol, 2006.
"Improving VWAP strategies: A dynamical volume approach,"
Documents de recherche
06-08, Centre d'Études des Politiques Économiques (EPEE), Université d'Evry Val d'Essonne.
- Bialkowski, Jedrzej & Darolles, Serge & Le Fol, Gaëlle, 2008. "Improving VWAP strategies: A dynamic volume approach," Journal of Banking & Finance, Elsevier, vol. 32(9), pages 1709-1722, September.
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