Otago University Research Archive
Improving VWAP strategies : A dynamical volume approach
Otago University Research Archive
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| dc.contributor.author | Białkowski, Jedrzej | en_NZ |
| dc.contributor.author | Darolles, Serge | en_NZ |
| dc.contributor.author | Le Fol, Gaëlle | en_NZ |
| dc.date.copyright | 2006-06-09 | en_NZ |
| dc.identifier.citation | Białkowski, J., Darolles, S., & Le Fol, G. (2006, June 9). Improving VWAP strategies : A dynamical volume approach. University of Otago Department of Finance Seminar Series. Presented at the University of Otago, Department of Finance, Seminar. | en |
| dc.identifier.uri | http://hdl.handle.net/10523/1540 | |
| dc.description.abstract | In this paper, we present a new methodology for modeling intraday volume which allows for a reduction of the execution risk in VWAP (Volume Weighted Average Price) orders. The results are obtained for the all 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 evolutions, the second describes the stock specific volume pattern. The dynamics of the specific part of volume is depicted by ARMA, and SETAR models. The implementation of VWAP strategies imposes some dynamical adjustments within the day. | en_NZ |
| dc.format.mimetype | application/pdf | |
| dc.relation.ispartof | University of Otago Department of Finance Seminar Series | en_NZ |
| dc.relation.uri | http://www.business.otago.ac.nz/finc/research/seminars_06.html | en_NZ |
| dc.subject | Intraday Volume | en_NZ |
| dc.subject | VWAP Strategies | en_NZ |
| dc.subject | Principal Component Analysis | en_NZ |
| dc.subject | Arbitrage. | en_NZ |
| dc.subject.lcsh | HF Commerce | en_NZ |
| dc.subject.lcsh | HF5601 Accounting | en_NZ |
| dc.subject.lcsh | HG Finance | en_NZ |
| dc.title | Improving VWAP strategies : A dynamical volume approach | en_NZ |
| dc.type | Conference or Workshop Item (Seminar, Speech or Other Presentation) | en_NZ |
| dc.description.version | Unpublished | en_NZ |
| otago.bitstream.pages | 61 | en_NZ |
| otago.date.accession | 2007-04-13 | en_NZ |
| otago.school | Finance | en_NZ |
| otago.openaccess | Open | |
| otago.place.publication | Dunedin, New Zealand | en_NZ |
| dc.identifier.eprints | 608 | en_NZ |
| dc.description.refereed | Non Peer Reviewed | en_NZ |
| otago.school.eprints | Finance & Quantitative Analysis | en_NZ |
| dc.description.references | Andersen, T., 1996, Return volatility and trading volume: An information flow interpretation of stochatic volatility, Journal of Finance 51(1), 169-204. Berkowitz, S., D., Logue, and E. Noser, 1988, The Total Cost of Transactions on the NYSE, Journal of Finance 41, 97-112. Biais, B., Hillion, P. and C. Spatt, 1995, An empirical analysis of the limit order book and the order flow in the Paris bourse, Journal of Finance 50(5), 1655-1689. Cuching, D., and Madhavan, A., 2000, Stock Returns and Institutional Trading at the Close, Journal of Financial Markets 3, 45-67. Darolles, S., and G., Le Fol,2003, Trading volume and Arbitrage, Working paper, CREST. Darat, A.,Rahman, S., and, M. Zhong, 2003, Intraday Trading Volume and Return Volatility of the DJIA Stocks: A Note, Journal of Banking and Finance 27(10), 2035- 2043. Easley, D., and M., O’Hara, 1987, Price; Trade Size, and Information in Securities Markets , Journal of Financial Economics 19, 69-90. Engle, R. and J. Russel, 1998, Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data, Econometrica (1998) 66: 1127-1162. Engle, R., 2000, The Econometrics of Ultra High Frequency Data, Econometrica, (2000) 68: 1-22. Foster, D., and S. Viswanathan, 1990, A Theory of Intraday Variations in volume, variance and trading costs in securities market, Review of Financial Studies 3, 593- 624. Gouriéroux, C., Jasiak, J., and G. Le Fol, 1999, Intra-day market activity, Journal of Financial Markets 2, 193-226. Gouriéroux, C. And G. Le Fol, 1998, Effet des Modes de Négociation sur les Echanges, Revue Economique, Vol. 49, 3, 795-808. Kaastra, I., Boyd, M., 1995, Forecasting Futures Trading Volume Using Neural Networks, Journal of Futures Markets 15, 953-970. Karpoff, J., Boyd, M., 1987, The Relationship between Price Changes and Trading volume: a Survey, Journal of Financial and Quantitative Analysis 22(1), 109-126. Le Fol, G. and L. Mercier, 1998, Time Deformation : Definition and Comparisons, Journal of Computational Intelligence in Finance 6, 5, 19-33. Lo, A.,Wang J., 2000, Trading Volume: Definition, Data Analysis, and Implication of Portfolio Theory, Review of Financial Studies 13, 257-300. Madhavan, A., 2002, VWAP strategies, Transaction Performance: The Changing Face of Trading Investment Guides Series, Institutional Investor Inc., 32-38. Manganelli, S., 2002, Duration, Volume, and Volatility Impact of Trades, European Central Bank Working Papers Series No. 125. McCulloch, J., 2004, Relative Volume as a Doubly Stochastic Binomial Point Process, Working Papers Series. Tauchen, G., Pitts, M.,1983,The Price Variability-Volume Relationship on Speculative Markets, Econometrica 51, 485-505. | en_NZ |
| otago.event.dates | 9 June 2006 | en_NZ |
| otago.event.place | Commerce 5.37, University of Otago, Dunedin, Otago | en_NZ |
| otago.event.type | other | en_NZ |
| otago.event.title | University of Otago, Department of Finance, Seminar | en_NZ |
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