Reducing the risk of VWAP orders execution: A new approach to modelling intra-day volume (2012)
In an era of increasing competition in financial services, financial institutions are spending more resources on broadening the array and reducing the price of products offered to clients. This also applies to broking houses, which have a vital interest in reducing costs associated with the execution of their clients’ orders. This paper presents a technique that aims to reduce the execution risk of VWAP (Volume Weighted Average Price) orders, which are orders to buy or sell a certain amount of a stock during the specified period at the VWAP. VWAP is calculated by dividing the value of trades by the volume over a specified period.
CitationBialkowski J, Darolles S, Le Fol G (2012). Reducing the risk of VWAP orders execution: A new approach to modelling intra-day volume. JASSA: The Finsia Journal of Applied Finance. 2012(1). 12-18.
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ANZSRC Fields of Research35 - Commerce, management, tourism and services::3502 - Banking, finance and investment::350208 - Investment and risk management
35 - Commerce, management, tourism and services::3502 - Banking, finance and investment::350203 - Financial econometrics
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