VWAP Execution with Signature-Enhanced Transformers: A Multi-Asset Learning Approach
Author
Abstract
Suggested Citation
Download full text from publisher
References listed on IDEAS
- Foster, F Douglas & Viswanathan, S, 1990. "A Theory of the Interday Variations in Volume, Variance, and Trading Costs in Securities Markets," The Review of Financial Studies, Society for Financial Studies, vol. 3(4), pages 593-624.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Hong, Harrison & Rady, Sven, 2002.
"Strategic trading and learning about liquidity,"
Journal of Financial Markets, Elsevier, vol. 5(4), pages 419-450, October.
- Harrison Hong & Sven Rady, 2000. "Strategic Trading and Learning About Liquidity," FMG Discussion Papers dp356, Financial Markets Group.
- Rady, Sven & Hong, Harrison G, 2000. "Strategic Trading And Learning About Liquidity," CEPR Discussion Papers 2416, C.E.P.R. Discussion Papers.
- Hong, Harrison & Rady, Sven, 2001. "Strategic Trading and Learning about Liquidity," Discussion Papers in Economics 15, University of Munich, Department of Economics.
- Harrison Hong & Sven Rady, 2000. "Strategic Trading and Learning about Liquidity," Econometric Society World Congress 2000 Contributed Papers 1351, Econometric Society.
- Hong, Harrison & Rady, Sven, 2000. "Strategic trading and learning about liquidity," LSE Research Online Documents on Economics 119102, London School of Economics and Political Science, LSE Library.
- Razin, Assaf & Goldstein, Itay, 2003. "An Information-Based Trade-off Between Foreign Direct Investment and Foreign Portfolio Investment: Volatility, Transparency and," CEPR Discussion Papers 3747, C.E.P.R. Discussion Papers.
- Konishi, Hizuru, 2002. "Optimal slice of a VWAP trade," Journal of Financial Markets, Elsevier, vol. 5(2), pages 197-221, April.
- Bernhardt, Dan & Hughson, Eric, 2002.
"Intraday trade in dealership markets,"
European Economic Review, Elsevier, vol. 46(9), pages 1697-1732, October.
- Dan Bernhardt & Eric Hughson, 1991. "Intraday Trade in Dealership Markets," Working Paper 841, Economics Department, Queen's University.
- Bernhardt, Dan & Hughson, Eric, 1993. "Intraday Trade in Dealership Markets," Working Papers 852, California Institute of Technology, Division of the Humanities and Social Sciences.
- Xu, Yanyan & Huang, Dengshi & Ma, Feng & Qiao, Gaoxiu, 2019. "Liquidity and realized range-based volatility forecasting: Evidence from China," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 525(C), pages 1102-1113.
- Uctum, Remzi & Renou-Maissant, Patricia & Prat, Georges & Lecarpentier-Moyal, Sylvie, 2017.
"Persistence of announcement effects on the intraday volatility of stock returns: Evidence from individual data,"
Review of Financial Economics, Elsevier, vol. 35(C), pages 43-56.
- Remzi Uctum & Patricia Renou‐Maissant & Georges Prat & Sylvie Lecarpentier‐Moyal, 2017. "Persistence of announcement effects on the intraday volatility of stock returns: Evidence from individual data," Review of Financial Economics, John Wiley & Sons, vol. 35(1), pages 43-56, November.
- Sylvie Lecarpentier-Moyal & Georges Prat & Patricia Renou-Maissant & Remzi Uctum, 2013. "Persistence of announcement effects on the intraday volatility of stock returns: evidence from individual data," EconomiX Working Papers 2013-36, University of Paris Nanterre, EconomiX.
- Sylvie Lecarpentier-Moyal & Georges Prat & Patricia Renou-Maissant & Remzi Uctum, 2013. "Persistence of announcement effects on the intraday volatility of stock returns: evidence from individual data," Erudite Working Paper 2013-05, Erudite.
- Sylvie Lecarpentier Moyal & Georges Prat & Patricia Renou Maissant & Remzi Uctum, 2013. "Persistence of announcement effects on the intraday volatility of stock returns: evidence from individual data," Working Papers 2013-27, Department of Research, Ipag Business School.
- Remzi Uctum & Patricia Renou-Maissant & Georges Prat & Sylvie Lecarpentier-Moyal, 2017. "Persistence of announcement effects on the intraday volatility of stock returns: Evidence from individual data," Post-Print halshs-02080313, HAL.
- Georges Prat & Remzi Uctum & Sylvie Lecarpentier-Moyal & Patricia Renou-Maissant, 2014. "Persistence of announcement effects on the intraday volatility of stock returns: evidence from individual data," Post-Print hal-01638222, HAL.
- Sylvie Lecarpentier-Moyal & Georges Prat & Patricia Renou-Maissant & Remzi Uctum, 2014. "Persistence of announcement effects on the intraday volatility of stock returns: evidence from individual data," Post-Print hal-01411783, HAL.
- Lof, Matthijs & van Bommel, Jos, 2023.
"Asymmetric information and the distribution of trading volume,"
Journal of Corporate Finance, Elsevier, vol. 82(C).
- Lof, Matthijs & Bommel, Jos van, 2018. "Asymmetric information and the distribution of trading volume," Bank of Finland Research Discussion Papers 1/2018, Bank of Finland.
- Lof, Matthijs & Bommel, Jos van, 2018. "Asymmetric information and the distribution of trading volume," Bank of Finland Research Discussion Papers 1/2018, Bank of Finland.
- Malinova, Katya & Park, Andreas, 2014. "The impact of competition and information on intraday trading," Journal of Banking & Finance, Elsevier, vol. 44(C), pages 55-71.
- Boulatov, Alex & Hatch, Brian C. & Johnson, Shane A. & Lei, Adam Y.C., 2009. "Dealer attention, the speed of quote adjustment to information, and net dealer revenue," Journal of Banking & Finance, Elsevier, vol. 33(8), pages 1531-1542, August.
- Xuejun Jin & Hongze Li & Bin Yu, 2023. "The day‐of‐the‐month effect and the performance of the dollar cost averaging strategy: Evidence from China," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 63(S1), pages 797-815, April.
- Malik, Ali Khalil, 2005. "European exchange rate volatility dynamics: an empirical investigation," Journal of Empirical Finance, Elsevier, vol. 12(1), pages 187-215, January.
- Jiayi Li & Sumei Luo & Guangyou Zhou, 2021. "Call auction, continuous trading and closing price formation," Quantitative Finance, Taylor & Francis Journals, vol. 21(6), pages 1037-1065, June.
- Hua, Renhai & Liu, Qingfu & Tse, Yiuman, 2016. "Extended trading in Chinese index markets: Informed or uninformed?," Pacific-Basin Finance Journal, Elsevier, vol. 36(C), pages 112-122.
- Chia-Ching Chang & Sheng-Syan Chen & Robin Chou & Chin-Wen Hsin, 2011. "Intraday return spillovers and its variations across trading sessions," Review of Quantitative Finance and Accounting, Springer, vol. 36(3), pages 355-390, April.
- Ahmed Rushdy & Nagwa Samak, 2025. "Examining Market Quality on the Egyptian Exchange (EGX): An Intraday Liquidity Analysis," JRFM, MDPI, vol. 18(1), pages 1-28, January.
- David Easley & Robert F. Engle & Maureen O'Hara & Liuren Wu, 2008.
"Time-Varying Arrival Rates of Informed and Uninformed Trades,"
Journal of Financial Econometrics, Oxford University Press, vol. 6(2), pages 171-207, Spring.
- David Easley & Robert F. Engle & Maureen O'Hara & Liuren Wu, 2002. "Time-Varying Arrival Rates of Informed and Uninformed Trades," Finance 0207017, University Library of Munich, Germany.
- Geir H. Bjønnes & Dagfinn Rime & Haakon O. Aa. Solheim, 2002.
"Volume and Volatility in the FX-Market: Does it matter who you are?,"
CESifo Working Paper Series
786, CESifo.
- Geir Hoidal Bjonnes & Dagfinn Rime & Haakon O. Aa. Solheim, 2003. "Volume and Volatility in the FX Market: Does it matter who you are?," Working Paper 2003/7, Norges Bank.
- Mazza, Paolo, 2015.
"Price dynamics and market liquidity: An intraday event study on Euronext,"
The Quarterly Review of Economics and Finance, Elsevier, vol. 56(C), pages 139-153.
- Paolo Mazza, 2015. "Price dynamics and market liquidity: An intraday event study on Euronext," Post-Print hal-01563014, HAL.
- Tsai, Yi-Cheng & Lei, Chin-Laung & Cheung, William & Wu, Chung-Shu & Ho, Jan-Ming & Wang, Chuan-Ju, 2018. "Exploring the Persistent Behavior of Financial Markets," Finance Research Letters, Elsevier, vol. 24(C), pages 199-220.
- Min-Hsien Chiang & Tsai-Yin Lin & Chih-Hsien Jerry Yu, 2009. "Liquidity Provision of Limit Order Trading in the Futures Market Under Bull and Bear Markets," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 36(7-8), pages 1007-1038.
Corrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:arx:papers:2503.02680. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: arXiv administrators (email available below). General contact details of provider: http://arxiv.org/ .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.