VWAP execution and guaranteed VWAP
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References listed on IDEAS
- 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.
- 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.
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Citations
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Cited by:
- Takashi Kato, 2017. "An Optimal Execution Problem in the Volume-Dependent Almgren-Chriss Model," Papers 1701.08972, arXiv.org, revised Aug 2017.
- Olkhov, Victor, 2020.
"Classical Option Pricing and Some Steps Further,"
MPRA Paper
105431, University Library of Munich, Germany, revised 28 Dec 2020.
- Olkhov, Victor, 2020. "Classical Option Pricing and Some Steps Further," MPRA Paper 99918, University Library of Munich, Germany.
- Victor Olkhov, 2020. "Classical Option Pricing and Some Steps Further," Papers 2004.13708, arXiv.org, revised Feb 2021.
- Victor Olkhov, 2021.
"Three Remarks On Asset Pricing,"
Papers
2105.13903, arXiv.org, revised Jan 2024.
- Olkhov, Victor, 2021. "Three Remarks On Asset Pricing," MPRA Paper 109238, University Library of Munich, Germany.
- Olkhov, Victor, 2021. "Three Remarks On Asset Pricing," MPRA Paper 107938, University Library of Munich, Germany.
- Fayc{c}al Drissi, 2022. "Solvability of Differential Riccati Equations and Applications to Algorithmic Trading with Signals," Papers 2202.07478, arXiv.org, revised Aug 2023.
- Frei, Christoph & Mitra, Joshua, 2021. "Optimal closing benchmarks," Finance Research Letters, Elsevier, vol. 40(C).
- Victor Olkhov, 2020.
"Volatility Depends on Market Trades and Macro Theory,"
Papers
2008.07907, arXiv.org, revised Jun 2024.
- Olkhov, Victor, 2020. "Volatility Depend on Market Trades and Macro Theory," MPRA Paper 102434, University Library of Munich, Germany.
- Alexander Barzykin & Fabrizio Lillo, 2019. "Optimal VWAP execution under transient price impact," Papers 1901.02327, arXiv.org, revised Jan 2019.
- Christopher Kath & Florian Ziel, 2020. "Optimal Order Execution in Intraday Markets: Minimizing Costs in Trade Trajectories," Papers 2009.07892, arXiv.org, revised Oct 2020.
- Victor Olkhov, 2021.
"To VaR, or Not to VaR, That is the Question,"
Papers
2101.08559, arXiv.org, revised Apr 2024.
- Olkhov, Victor, 2021. "To VaR, or Not to VaR, That is the Question," MPRA Paper 105458, University Library of Munich, Germany.
- Philippe Bergault & Fayc{c}al Drissi & Olivier Gu'eant, 2021. "Multi-asset optimal execution and statistical arbitrage strategies under Ornstein-Uhlenbeck dynamics," Papers 2103.13773, arXiv.org, revised Mar 2022.
- Simon Clinet & Jean-Franc{c}ois Perreton & Serge Reydellet, 2021. "Optimal trading: a model predictive control approach," Papers 2110.11008, arXiv.org, revised Nov 2021.
- Olivier Guéant, 2016. "The Financial Mathematics of Market Liquidity: From Optimal Execution to Market Making," Post-Print hal-01393136, HAL.
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