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Optimal slice of a VWAP trade

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References

1988A Theory of Intraday Patterns: Volume and Price Variability3,120 cited
1973A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices2,781 cited
1987The Relation Between Price Changes and Trading Volume: A Survey2,380 cited
1983The Price Variability-Volume Relationship on Speculative Markets1,450 cited
1998Optimal control of execution costs1,056 cited
1996Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility1,021 cited
1976The Stochastic Dependence of Security Price Changes and Transaction Volumes: Implications for the Mixture-of-Distributions Hypothesis931 cited
1990A Theory of the Interday Variations in Volume, Variance, and Trading Costs in Securities Markets788 cited
1988The Dependence between Hourly Prices and Trading Volume671 cited
1998Price Dynamics in Limit Order Markets597 cited
1996Market vs. Limit Orders: The SuperDOT Evidence on Order Submission Strategy388 cited
1995Market Structure and the Intraday Pattern of Bid-Ask Spreads for NASDAQ Securities325 cited

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2013OPTIMAL EXECUTION OF A VWAP ORDER: A STOCHASTIC CONTROL APPROACH65 cited
2009Measures of implicit trading costs and buy–sell asymmetry63 cited

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2016A Closed-Form Execution Strategy to Target Volume Weighted Average Price58 cited

2014VWAP Execution and Guaranteed VWAP37 cited

2008Assessing the Impact of Algorithmic Trading on Markets: A Simulation Approach29 cited

2022Multi-asset Optimal Execution and Statistical Arbitrage Strategies under Ornstein--Uhlenbeck Dynamics27 cited

2022Optimal Execution: A Review26 cited