Improving VWAP strategies: A dynamic volume approach

Journal of Banking and Finance

Volumn 32, Issue 9, 2008, Pages 1709-1722

  Białkowski, Jedrzej ^a   Darolles, Serge ^b   Le Fol, Gaëlle ^c  

^a AUCKLAND UNIVERSITY OF TECHNOLOGY   (New Zealand)

^b SOCIÉTÉ GÉNÉRALE   (France)

^c University of Evry and EPEE   (France)

Author keywords

Factor models; Intraday volume; Volume Weighted Average Price; VWAP strategies

Indexed keywords

EID: 48749084614     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jbankfin.2007.09.023     Document Type: Article

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