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ArticleOptimal slice of a VWAP trade

Hizuru Konishi2002

Article2002

Optimal slice of a VWAP trade

71 citations·0/0 files stored·Journal of Financial Markets

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Financial Markets and Investment Strategies Stochastic processes and financial applications Risk and Portfolio Optimization

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References

1988A Theory of Intraday Patterns: Volume and Price Variability 1973A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices 1987The Relation Between Price Changes and Trading Volume: A Survey 1983The Price Variability-Volume Relationship on Speculative Markets 1998Optimal control of execution costs 1996Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility 1976The Stochastic Dependence of Security Price Changes and Transaction Volumes: Implications for the Mixture-of-Distributions Hypothesis 1990A Theory of the Interday Variations in Volume, Variance, and Trading Costs in Securities Markets

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2013OPTIMAL EXECUTION OF A VWAP ORDER: A STOCHASTIC CONTROL APPROACH 2009Measures of implicit trading costs and buy–sell asymmetry 2016A Closed-Form Execution Strategy to Target Volume Weighted Average Price 2014VWAP Execution and Guaranteed VWAP 2008Assessing the Impact of Algorithmic Trading on Markets: A Simulation Approach

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Year2002

Typearticle

Published2002-04-01

VenueJournal of Financial Markets

ISSN-L1386-4181

Languageen

Citations71

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1016/s1386-4181(01)00023-4

openalex_workW2011903355

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