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Improving VWAP strategies: A dynamic volume approach

Citations

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Cited by:

  1. Jedrzej Bialkowski & Serge Darolles & Gaëlle Le Fol, 2012. "Reducing the risk of VWAP orders execution - A new approach to modeling intra-day volume," Post-Print hal-01632822, HAL.
  2. Serge Darolles & Gaëlle Le Fol, 2003. "Trading Volume and Arbitrage," Working Papers 2003-46, Center for Research in Economics and Statistics.
  3. Ferriani, Fabrizio, 2010. "Informed and uninformed traders at work: evidence from the French market," MPRA Paper 24487, University Library of Munich, Germany.
  4. Serge Darolles & Gaëlle Le Fol & Gulten Mero, 2010. "When Market Illiquidity Generates Volumes," Working Papers halshs-00536046, HAL.
  5. Olivier Gu'eant & Guillaume Royer, 2013. "VWAP execution and guaranteed VWAP," Papers 1306.2832, arXiv.org, revised May 2014.
  6. Ito, R., 2016. "Spline-DCS for Forecasting Trade Volume in High-Frequency Finance," Cambridge Working Papers in Economics 1606, Faculty of Economics, University of Cambridge.
  7. Humphery-Jenner, M., 2011. "High Frequency Trading, Information, and Takeovers," Other publications TiSEM 0e6dd147-6f57-4f32-b265-f, Tilburg University, School of Economics and Management.
  8. Soohan Kim & Jimyeong Kim & Hong Kee Sul & Youngjoon Hong, 2023. "An Adaptive Dual-level Reinforcement Learning Approach for Optimal Trade Execution," Papers 2307.10649, arXiv.org.
  9. Darolles, Serge & Fol, Gaëlle Le & Mero, Gulten, 2015. "Measuring the liquidity part of volume," Journal of Banking & Finance, Elsevier, vol. 50(C), pages 92-105.
  10. Humphery-Jenner, M., 2011. "High Frequency Trading, Information, and Takeovers," Discussion Paper 2011-047, Tilburg University, Center for Economic Research.
  11. 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.
  12. Joseph P Janzen & Nicolas Legrand, 2019. "Wheat Futures Trading Volume Forecasting and the Value of Extended Trading Hours," Working Papers hal-02945376, HAL.
  13. Szűcs, Balázs Árpád, 2017. "Forecasting intraday volume: Comparison of two early models," Finance Research Letters, Elsevier, vol. 21(C), pages 249-258.
  14. Ye, Xunyu & Gao, Ping & Li, Handong, 2015. "Improving estimation of the fractionally differencing parameter in the SARFIMA model using tapered periodogram," Economic Modelling, Elsevier, vol. 46(C), pages 167-179.
  15. Andrew C. Meldrum & Oleg Sokolinskiy, 2023. "The Effects of Volatility on Liquidity in the Treasury Market," Finance and Economics Discussion Series 2023-028, Board of Governors of the Federal Reserve System (U.S.).
  16. Yang, Yaxing & Ling, Shiqing, 2017. "Self-weighted LAD-based inference for heavy-tailed threshold autoregressive models," Journal of Econometrics, Elsevier, vol. 197(2), pages 368-381.
  17. Darolles, Serge & Le Fol, Gaëlle & Mero, Gulten, 2017. "Mixture of distribution hypothesis: Analyzing daily liquidity frictions and information flows," Journal of Econometrics, Elsevier, vol. 201(2), pages 367-383.
  18. Olivier Guéant, 2016. "The Financial Mathematics of Market Liquidity: From Optimal Execution to Market Making," Post-Print hal-01393136, HAL.
  19. Ye Xunyu & Yan Rui & Li Handong, 2014. "Forecasting trading volume in the Chinese stock market based on the dynamic VWAP," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 18(2), pages 1-20, April.
  20. Miko{l}aj Bi'nkowski & Charles-Albert Lehalle, 2018. "Endogeneous Dynamics of Intraday Liquidity," Papers 1811.03766, arXiv.org.
  21. Nino Antulov-Fantulin & Tian Guo & Fabrizio Lillo, 2021. "Temporal mixture ensemble models for probabilistic forecasting of intraday cryptocurrency volume," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 44(2), pages 905-940, December.
  22. 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.
  23. Xiaodong Li & Pangjing Wu & Chenxin Zou & Qing Li, 2022. "Hierarchical Deep Reinforcement Learning for VWAP Strategy Optimization," Papers 2212.14670, arXiv.org.
  24. Dutt, Tanuj & Humphery-Jenner, Mark, 2013. "Stock return volatility, operating performance and stock returns: International evidence on drivers of the ‘low volatility’ anomaly," Journal of Banking & Finance, Elsevier, vol. 37(3), pages 999-1017.
  25. Olivier Guéant & Royer Guillaume, 2014. "VWAP execution and guaranteed VWAP," Post-Print hal-01393121, HAL.
  26. Lei Li & Zhiyuan Zhang & Ruihan Bao & Keiko Harimoto & Xu Sun, 2022. "Distributional Correlation--Aware Knowledge Distillation for Stock Trading Volume Prediction," Papers 2208.07232, arXiv.org.
  27. Humphery-Jenner, M., 2011. "High Frequency Trading, Information, and Takeovers," Other publications TiSEM 30aa1477-0fb2-46ed-a5eb-f, Tilburg University, School of Economics and Management.
  28. Christopher Kath & Florian Ziel, 2020. "Optimal Order Execution in Intraday Markets: Minimizing Costs in Trade Trajectories," Papers 2009.07892, arXiv.org, revised Oct 2020.
  29. Alexandru Mandes, 2016. "Algorithmic and High-Frequency Trading Strategies: A Literature Review," MAGKS Papers on Economics 201625, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
  30. Li, Yingying & Xie, Shangyu & Zheng, Xinghua, 2016. "Efficient estimation of integrated volatility incorporating trading information," Journal of Econometrics, Elsevier, vol. 195(1), pages 33-50.
  31. Fong, Kingsley Y.L. & Liu, Wai-Man, 2010. "Limit order revisions," Journal of Banking & Finance, Elsevier, vol. 34(8), pages 1873-1885, August.
  32. Alexander Malinowski & Martin Schlather & Zhengjun Zhang, 2016. "Intrinsically weighted means and non-ergodic marked point processes," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 68(1), pages 1-24, February.
  33. Enzo Busseti & Stephen Boyd, 2015. "Volume Weighted Average Price Optimal Execution," Papers 1509.08503, arXiv.org.
  34. Clements, Adam & Hurn, Stan & Volkov, Vladimir, 2021. "A simple linear alternative to multiplicative error models with an application to trading volume," Working Papers 2021-06, University of Tasmania, Tasmanian School of Business and Economics.
  35. Gianluca Fusai & Ioannis Kyriakou, 2016. "General Optimized Lower and Upper Bounds for Discrete and Continuous Arithmetic Asian Options," Mathematics of Operations Research, INFORMS, vol. 41(2), pages 531-559, May.
  36. 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.
  37. Alexander Buryak & Ivan Guo, 2014. "Effective and simple VWAP option pricing model," Papers 1407.7315, arXiv.org.
  38. Yuchen Fang & Kan Ren & Weiqing Liu & Dong Zhou & Weinan Zhang & Jiang Bian & Yong Yu & Tie-Yan Liu, 2021. "Universal Trading for Order Execution with Oracle Policy Distillation," Papers 2103.10860, arXiv.org.
  39. Humphery-Jenner, Mark L., 2011. "Optimal VWAP trading under noisy conditions," Journal of Banking & Finance, Elsevier, vol. 35(9), pages 2319-2329, September.
  40. Mariano González-Sánchez & Eva M. Ibáñez Jiménez & Ana I. Segovia San Juan, 2021. "Market and Liquidity Risks Using Transaction-by-Transaction Information," Mathematics, MDPI, vol. 9(14), pages 1-14, July.
  41. Gulten Mero & Serge Darolles & Gaëlle Le Fol, 2015. "Financial Market Liquidity: Who Is Acting Strategically?," THEMA Working Papers 2015-14, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
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