Relative Volume as a Doubly Stochastic Binomial Point Process
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Other versions of this item:
- James McCulloch, 2007. "Relative volume as a doubly stochastic binomial point process," Quantitative Finance, Taylor & Francis Journals, vol. 7(1), pages 55-62.
References listed on IDEAS
- Tina Hviid Rydberg & Neil Shephard, 2000. "BIN Models for Trade-by-Trade Data. Modelling the Number of Trades in a Fixed Interval of Time," Econometric Society World Congress 2000 Contributed Papers 0740, Econometric Society.
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- Olivier Gu'eant & Guillaume Royer, 2013. "VWAP execution and guaranteed VWAP," Papers 1306.2832, arXiv.org, revised May 2014.
- 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.
- Jedrzej Bialkowski & Serge Darolles & Gaëlle Le Fol, 2008. "Improving VWAP strategies: A dynamic volume approach," Post-Print halshs-00676946, HAL.
- McCulloch, James, 2012. "Fractal market time," Journal of Empirical Finance, Elsevier, vol. 19(5), pages 686-701.
- James McCulloch, 2012. "Fractal Market Time," Research Paper Series 311, Quantitative Finance Research Centre, University of Technology, Sydney.
- Jedrzej Bialkowski & Serge Darolles & Gaëlle Le Fol, 2005. "Decomposing Volume for VWAP Strategies," Working Papers 2005-16, Center for Research in Economics and Statistics.
- James McCulloch & Vladimir Kazakov, 2007. "Optimal VWAP Trading Strategy and Relative Volume," Research Paper Series 201, Quantitative Finance Research Centre, University of Technology, Sydney.
- Dieter Hendricks & Diane Wilcox, 2014. "A reinforcement learning extension to the Almgren-Chriss model for optimal trade execution," Papers 1403.2229, arXiv.org.
More about this item
Keywordsbinomial; point process; doubly stochastic; relative volume; Cox process; random probability measure; VWAP; volume weighted average pricing; NYSE; New York Stock Exchange;
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2005-03-06 (All new papers)
- NEP-FIN-2005-03-06 (Finance)
- NEP-FMK-2005-03-06 (Financial Markets)
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