Browsing by Author "Darolles, Serge"
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Improving VWAP strategies : A dynamical volume approach
Białkowski, Jedrzej; Darolles, Serge; Le Fol, GaëlleIn 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 ...