Białkowski, Jedrzej; Darolles, Serge; Le Fol, Gaëlle
(Conference or Workshop Item (Seminar, Speech or Other Presentation), University of Otago, Department of Finance, Seminar, 2006)
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 ...