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Optimal slice of a VWAP trade

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  • Konishi, Hizuru

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  • Konishi, Hizuru, 2002. "Optimal slice of a VWAP trade," Journal of Financial Markets, Elsevier, vol. 5(2), pages 197-221, April.
  • Handle: RePEc:eee:finmar:v:5:y:2002:i:2:p:197-221
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    References listed on IDEAS

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    1. 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.
    2. Parlour, Christine A, 1998. "Price Dynamics in Limit Order Markets," Review of Financial Studies, Society for Financial Studies, vol. 11(4), pages 789-816.
    3. 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(1), pages 109-126, March.
    4. Clark, Peter K, 1973. "A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices," Econometrica, Econometric Society, vol. 41(1), pages 135-155, January.
    5. Bertsimas, Dimitris & Lo, Andrew W., 1998. "Optimal control of execution costs," Journal of Financial Markets, Elsevier, vol. 1(1), pages 1-50, April.
    6. Harris, Lawrence & Hasbrouck, Joel, 1996. "Market vs. Limit Orders: The SuperDOT Evidence on Order Submission Strategy," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 31(2), pages 213-231, June.
    7. 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.
    8. 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(3), pages 269-283, September.
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    Citations

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    Cited by:

    1. Nico Achtsis & Dirk Nuyens, 2013. "A Monte Carlo method for optimal portfolio executions," Papers 1312.5919, arXiv.org.
    2. Alexander Barzykin & Fabrizio Lillo, 2019. "Optimal VWAP execution under transient price impact," Papers 1901.02327, arXiv.org, revised Jan 2019.
    3. Wang, Kaiyang & Yang, Haizhen, 2018. "The price-volume relationship caused by asset allocation based on Kelly criterion," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 503(C), pages 1-8.
    4. 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.
    5. Christopher Kath & Florian Ziel, 2020. "Optimal Order Execution in Intraday Markets: Minimizing Costs in Trade Trajectories," Papers 2009.07892, arXiv.org, revised Oct 2020.
    6. Enzo Busseti & Stephen Boyd, 2015. "Volume Weighted Average Price Optimal Execution," Papers 1509.08503, arXiv.org.
    7. 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.
    8. Alexander Buryak & Ivan Guo, 2014. "Effective and simple VWAP option pricing model," Papers 1407.7315, arXiv.org.
    9. 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.
    10. Hu, Gang, 2009. "Measures of implicit trading costs and buy-sell asymmetry," Journal of Financial Markets, Elsevier, vol. 12(3), pages 418-437, August.
    11. Olivier Guéant, 2016. "The Financial Mathematics of Market Liquidity: From Optimal Execution to Market Making," Post-Print hal-01393136, HAL.
    12. 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.
    13. 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.
    14. Olivier Gu'eant & Guillaume Royer, 2013. "VWAP execution and guaranteed VWAP," Papers 1306.2832, arXiv.org, revised May 2014.
    15. Max O. Souza & Yuri Thamsten, 2021. "On regularized optimal execution problems and their singular limits," Papers 2101.02731, arXiv.org.
    16. Jim Gatheral, 2010. "No-dynamic-arbitrage and market impact," Quantitative Finance, Taylor & Francis Journals, vol. 10(7), pages 749-759.
    17. Takashi Kato, 2014. "VWAP Execution as an Optimal Strategy," Papers 1408.6118, arXiv.org, revised Jan 2017.
    18. 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.
    19. Takashi Kato, 2017. "An Optimal Execution Problem in the Volume-Dependent Almgren-Chriss Model," Papers 1701.08972, arXiv.org, revised Aug 2017.
    20. Olivier Guéant & Royer Guillaume, 2014. "VWAP execution and guaranteed VWAP," Post-Print hal-01393121, HAL.
    21. 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).
    22. Qixuan Luo & Yu Shi & Xuan Zhou & Handong Li, 0. "Research on the Effects of Institutional Liquidation Strategies on the Market Based on Multi-agent Model," Computational Economics, Springer;Society for Computational Economics, vol. 0, pages 1-25.
    23. James McCulloch & Vladimir Kazakov, 2007. "Optimal VWAP Trading Strategy and Relative Volume," Research Paper Series 201, Quantitative Finance Research Centre, University of Technology, Sydney.

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