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dc.contributor.authorBialkowski, Jedrzej*
dc.contributor.authorDarolles, Serge*
dc.contributor.authorLe Fol, Gaëlle*
dc.date.accessioned2013-09-13T09:48:24Z
dc.date.available2013-09-13T09:48:24Z
dc.date.issued2012
dc.identifier.issn0313-5934
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/11662
dc.language.isoenen
dc.subjectintra-day trading volume
dc.subjectexecution risk
dc.subjectVolume Weighted Average Price order
dc.subjecttrading costs in securities markets
dc.subjectModeling
dc.subject.ddc332en
dc.subject.classificationjelC.C2.C22en
dc.subject.classificationjelD.D8.D81en
dc.subject.classificationjelG.G1.G13en
dc.subject.classificationjelG.G1.G11en
dc.subject.classificationjelC.C5.C58
dc.subject.classificationjelG.G1.G12
dc.titleReducing the risk of VWAP orders execution - A new approach to modeling intra-day volume
dc.typeArticle accepté pour publication ou publié
dc.description.abstractenThis 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.
dc.relation.isversionofjnlnameJASSA
dc.relation.isversionofjnlissue1
dc.relation.isversionofjnldate2012
dc.relation.isversionofjnlpages12-18
dc.relation.isversionofjnlpublisherInternational Arts & Sciences Press
dc.subject.ddclabelEconomie financièreen
dc.relation.forthcomingnonen
dc.relation.forthcomingprintnonen
dc.description.ssrncandidatenon
dc.description.halcandidateoui
dc.description.readershiprecherche
dc.description.audienceInternational
dc.relation.Isversionofjnlpeerreviewedoui
dc.date.updated2017-02-21T08:42:04Z
hal.person.labIds101915*
hal.person.labIds1032*
hal.person.labIds1032*
hal.identifierhal-01632822*


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