Reducing the Risk of VWAP Orders Execution
JASSA The Finsia Journal of Applied Finance, Issue 2012, 12-18
Posted: 21 Nov 2017
Date Written: 2012
Abstract
This paper proposes a new dynamic approach to modelling intra-day trading volume based on factor models. It assumes that intra-day volume can be decomposed into two parts each predicted using separate time-series models. By enabling more accurate prediction of intra-day volume, this methodology allows for a significant reduction in the cost of executing Volume Weighted Average Price orders.
Keywords: intra-day trading volume, VWAP orders, execution risk, trading costs in securities markets
Suggested Citation: Suggested Citation
Bialkowski, Jedrzej Pawel and Darolles, Serge and Le Fol, Gaëlle, Reducing the Risk of VWAP Orders Execution (2012). JASSA The Finsia Journal of Applied Finance, Issue 2012, 12-18, Available at SSRN: https://ssrn.com/abstract=3073061
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