Optimal VWAP Trading Strategy and Relative Volume
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References listed on IDEAS
- James McCulloch, 2007.
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Cited by:
- 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.
- 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.
- Olivier Gu'eant & Guillaume Royer, 2013. "VWAP execution and guaranteed VWAP," Papers 1306.2832, arXiv.org, revised May 2014.
- Olivier Guéant & Royer Guillaume, 2014. "VWAP execution and guaranteed VWAP," Post-Print hal-01393121, HAL.
- Olivier Guéant, 2016. "The Financial Mathematics of Market Liquidity: From Optimal Execution to Market Making," Post-Print hal-01393136, HAL.
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This paper has been announced in the following NEP Reports:- NEP-MST-2007-10-06 (Market Microstructure)
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