IDEAS home Printed from https://ideas.repec.org/e/pmc189.html
   My authors  Follow this author

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)

Business School
Macquarie University

Sydney, Australia
https://www.mq.edu.au/macquarie-business-school
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/
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. 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, vol. 13(3), pages 1-16, January.
    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.
    3. Olivier Gu'eant & Guillaume Royer, 2013. "VWAP execution and guaranteed VWAP," Papers 1306.2832, arXiv.org, revised May 2014.
    4. Olivier Guéant & Royer Guillaume, 2014. "VWAP execution and guaranteed VWAP," Post-Print hal-01393121, HAL.
    5. Olivier Guéant, 2016. "The Financial Mathematics of Market Liquidity: From Optimal Execution to Market Making," Post-Print hal-01393136, HAL.

  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. Jedrzej Bialkowski & Serge Darolles & Gaëlle Le Fol, 2008. "Improving VWAP strategies: A dynamic volume approach," Post-Print halshs-00676946, HAL.
    2. Olivier Gu'eant & Guillaume Royer, 2013. "VWAP execution and guaranteed VWAP," Papers 1306.2832, arXiv.org, revised May 2014.
    3. McCulloch, James, 2012. "Fractal market time," Journal of Empirical Finance, Elsevier, vol. 19(5), pages 686-701.
    4. Olivier Guéant & Royer Guillaume, 2014. "VWAP execution and guaranteed VWAP," Post-Print hal-01393121, HAL.
    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.
    8. James McCulloch, 2012. "Fractal Market Time," Research Paper Series 311, Quantitative Finance Research Centre, University of Technology, Sydney.
    9. Olivier Guéant, 2016. "The Financial Mathematics of Market Liquidity: From Optimal Execution to Market Making," Post-Print hal-01393136, HAL.
    10. 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.
    11. Valerii Salov, 2017. "The Wandering of Corn," Papers 1704.01179, 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

Access and download statistics for all items

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

All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. For general information on how to correct material on RePEc, see these instructions.

To update listings or check citations waiting for approval, James McCulloch should log into the RePEc Author Service.

To make corrections to the bibliographic information of a particular item, find the technical contact on the abstract page of that item. There, details are also given on how to add or correct references and citations.

To link different versions of the same work, where versions have a different title, use this form. Note that if the versions have a very similar title and are in the author's profile, the links will usually be created automatically.

Please note that most corrections can take a couple of weeks to filter through the various RePEc services.

IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.