Reducing the Risk of VWAP Orders Execution

JASSA The Finsia Journal of Applied Finance, Issue 2012, 12-18

Posted: 21 Nov 2017

See all articles by Jedrzej Pawel Bialkowski

Jedrzej Pawel Bialkowski

University of Canterbury - Department of Economics and Finance

Serge Darolles

Université Paris Dauphine - DRM-CEREG

Gaëlle Le Fol

Université Paris Dauphine - Department of Finance; National Institute of Statistics and Economic Studies (INSEE) - Center for Research in Economics and Statistics (CREST)

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

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

Jedrzej Pawel Bialkowski (Contact Author)

University of Canterbury - Department of Economics and Finance ( email )

Private Bag 4800
Christchurch, 8140
New Zealand

Serge Darolles

Université Paris Dauphine - DRM-CEREG ( email )

place du Maréchal de Lattre de Tassigny
cedex 16
Paris, 75775
France

Gaëlle Le Fol

Université Paris Dauphine - Department of Finance ( email )

Université Paris-Dauphine, Université PSL
Place du Maréchal de Lattre de Tassigny
Paris Cedex 16, 75775
France

National Institute of Statistics and Economic Studies (INSEE) - Center for Research in Economics and Statistics (CREST) ( email )

15 Boulevard Gabriel Peri
Malakoff Cedex, 1 92245
France

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