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James McCulloch

Personal Details

First Name:James
Middle Name:
Last Name:McCulloch
Suffix:
RePEc Short-ID:pmc189
[This author has chosen not to make the email address public]
Terminal Degree:2003 Finance Discipline Group; Business School; University of Technology Sydney (from RePEc Genealogy)

Affiliation

(in no particular order)

Faculty of Business and Economics
Macquarie University

Sydney, Australia
http://www.businessandeconomics.mq.edu.au/



Sydney NSW 2109
RePEc:edi:defmqau (more details at EDIRC)

Quantitative Finance Research Centre
Finance Discipline Group
Business School
University of Technology Sydney

Sydney, Australia
http://www.business.uts.edu.au/qfrc/

+61 2 9514-7777
+61 2 9514-7711
PO Box 123, Broadway, NSW 2007
RePEc:edi:qfutsau (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. James McCulloch & Vladimir Kazakov, 2007. "Optimal VWAP Trading Strategy and Relative Volume," Research Paper Series 201, Quantitative Finance Research Centre, University of Technology, Sydney.
  2. James McCulloch, 2005. "Relative Volume as a Doubly Stochastic Binomial Point Process," Research Paper Series 146, Quantitative Finance Research Centre, University of Technology, Sydney.

Articles

  1. James McCulloch, 2007. "Relative volume as a doubly stochastic binomial point process," Quantitative Finance, Taylor & Francis Journals, vol. 7(1), pages 55-62.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. James McCulloch & Vladimir Kazakov, 2007. "Optimal VWAP Trading Strategy and Relative Volume," Research Paper Series 201, Quantitative Finance Research Centre, University of Technology, Sydney.

    Cited by:

    1. Olivier Gu'eant & Guillaume Royer, 2013. "VWAP execution and guaranteed VWAP," Papers 1306.2832, arXiv.org, revised May 2014.
    2. 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.

  2. James McCulloch, 2005. "Relative Volume as a Doubly Stochastic Binomial Point Process," Research Paper Series 146, Quantitative Finance Research Centre, University of Technology, Sydney.

    Cited by:

    1. Olivier Gu'eant & Guillaume Royer, 2013. "VWAP execution and guaranteed VWAP," Papers 1306.2832, arXiv.org, revised May 2014.
    2. 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.
    3. McCulloch, James, 2012. "Fractal market time," Journal of Empirical Finance, Elsevier, vol. 19(5), pages 686-701.
    4. James McCulloch, 2012. "Fractal Market Time," Research Paper Series 311, Quantitative Finance Research Centre, University of Technology, Sydney.
    5. Jedrzej Bialkowski & Serge Darolles & Gaëlle Le Fol, 2005. "Decomposing Volume for VWAP Strategies," Working Papers 2005-16, Center for Research in Economics and Statistics.
    6. James McCulloch & Vladimir Kazakov, 2007. "Optimal VWAP Trading Strategy and Relative Volume," Research Paper Series 201, Quantitative Finance Research Centre, University of Technology, Sydney.
    7. Dieter Hendricks & Diane Wilcox, 2014. "A reinforcement learning extension to the Almgren-Chriss model for optimal trade execution," Papers 1403.2229, arXiv.org.

Articles

  1. James McCulloch, 2007. "Relative volume as a doubly stochastic binomial point process," Quantitative Finance, Taylor & Francis Journals, vol. 7(1), pages 55-62.
    See citations under working paper version above.Sorry, no citations of articles recorded.

More information

Research fields, statistics, top rankings, if available.

Statistics

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NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 2 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-FIN: Finance (1) 2005-03-06
  2. NEP-FMK: Financial Markets (1) 2005-03-06
  3. NEP-MST: Market Microstructure (1) 2007-10-06

Corrections

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