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Improving VWAP strategies: A dynamic volume approach

Author

Listed:
  • Jędrzej Białkowski
  • Serge Darolles
  • Gaëlle Le Fol

    (EPEE - Centre d'Etudes des Politiques Economiques - UEVE - Université d'Évry-Val-d'Essonne)

Abstract

In this paper, we present a new methodology for modelling intraday volume, which allows for a reduction of the execution risk in VWAP (Volume Weighted Average Price) orders. The results are obtained for all the stocks included in the CAC40 index at the beginning of September 2004. The idea of considered models is based on the decomposition of traded volume into two parts: one reflects volume changes due to market evolution; the second describes the stock specific volume pattern. The dynamic of the specific volume part is depicted by ARMA and SETAR models. The implementation of VWAP strategies allows some dynamic adjustments during the day in order to improve tracking of the end-of-day VWAP. © 2007 Elsevier B.V. All rights reserved.

Suggested Citation

  • Jędrzej Białkowski & Serge Darolles & Gaëlle Le Fol, 2008. "Improving VWAP strategies: A dynamic volume approach," Post-Print hal-02877984, HAL.
    • Handle: RePEc:hal:journl:hal-02877984
    DOI: 10.1016/j.jbankfin.2007.09.023
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    References listed on IDEAS

    as
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