Optimal slice of a VWAP trade

Journal of Financial Markets

Volumn 5, Issue 2, 2002, Pages 197-221

  Konishi, Hizuru ^a,b  

^a UNIVERSITY OF TSUKUBA   (Japan)

^b NONE   (Japan)

Author keywords

Market microstructure; Optimal trade execution; VWAP trade

Indexed keywords

EID: 10644286544     PISSN: 13864181     EISSN: None     Source Type: Journal    
DOI: 10.1016/S1386-4181(01)00023-4     Document Type: Article

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