Optimal slice of a VWAP trade
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Nico Achtsis & Dirk Nuyens, 2013. "A Monte Carlo method for optimal portfolio executions," Papers 1312.5919, arXiv.org.
- Alexander Barzykin & Fabrizio Lillo, 2019. "Optimal VWAP execution under transient price impact," Papers 1901.02327, arXiv.org, revised Jan 2019.
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"Improving VWAP strategies: A dynamic volume approach,"
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- 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.
- Jedrzej Bialkowski & Serge Darolles & Gaëlle Le Fol, 2008. "Improving VWAP strategies: A dynamic volume approach," Post-Print halshs-00676946, HAL.
- J. Białkowski & S. Darolles & G. Le Fol, 2008. "Improving VWAP strategies: A dynamic volume approach," Post-Print hal-02877984, HAL.
- Christopher Kath & Florian Ziel, 2020. "Optimal Order Execution in Intraday Markets: Minimizing Costs in Trade Trajectories," Papers 2009.07892, arXiv.org, revised Oct 2020.
- Enzo Busseti & Stephen Boyd, 2015. "Volume Weighted Average Price Optimal Execution," Papers 1509.08503, arXiv.org.
- Seung Hwan Jeong & Hee Soo Lee & Hyun Nam & Kyong Joo Oh, 2021. "Using a Genetic Algorithm to Build a Volume Weighted Average Price Model in a Stock Market," Sustainability, MDPI, Open Access Journal, vol. 13(3), pages 1-16, January.
- Alexander Buryak & Ivan Guo, 2014. "Effective and simple VWAP option pricing model," Papers 1407.7315, arXiv.org.
- Francesco Calvori & Fabrizio Cipollini & Giampiero M. Gallo, 2014. "Go with the Flow: A GAS model for Predicting Intra-daily Volume Shares," Econometrics Working Papers Archive 2014_01, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti", revised Feb 2014.
- 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 Guéant, 2016. "The Financial Mathematics of Market Liquidity: From Optimal Execution to Market Making," Post-Print hal-01393136, HAL.
- Roman Huptas, 2019. "Point forecasting of intraday volume using Bayesian autoregressive conditional volume models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 38(4), pages 293-310, July.
- Jedrzej Bialkowski & Serge Darolles & Gaëlle Le Fol, 2012. "Reducing the risk of VWAP orders execution - A new approach to modeling intra-day volume," Post-Print hal-01632822, HAL.
- Olivier Gu'eant & Guillaume Royer, 2013. "VWAP execution and guaranteed VWAP," Papers 1306.2832, arXiv.org, revised May 2014.
- Max O. Souza & Yuri Thamsten, 2021. "On regularized optimal execution problems and their singular limits," Papers 2101.02731, arXiv.org.
- Jim Gatheral, 2010. "No-dynamic-arbitrage and market impact," Quantitative Finance, Taylor & Francis Journals, vol. 10(7), pages 749-759.
- Takashi Kato, 2014. "VWAP Execution as an Optimal Strategy," Papers 1408.6118, arXiv.org, revised Jan 2017.
- Ye Xunyu & Yan Rui & Li Handong, 2014. "Forecasting trading volume in the Chinese stock market based on the dynamic VWAP," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 18(2), pages 1-20, April.
- Takashi Kato, 2017. "An Optimal Execution Problem in the Volume-Dependent Almgren-Chriss Model," Papers 1701.08972, arXiv.org, revised Aug 2017.
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