SCOPUS 정보 검색 플랫폼

Volumn 10, Issue 8, 2010, Pages 917-930

Wavelet decomposition for intra-day volume dynamics

Author keywords

Applied mathematical finance; Derivative pricing models; Econophysics; Trading strategies

Indexed keywords

EID: 77956782439 PISSN: 14697688 EISSN: 14697696 Source Type: Journal
DOI: 10.1080/14697680903369484 Document Type: Article

Times cited : (20)

References (13)

1
- 84971848053
- A simplified jump process for common stock returns
- Ball, C. and Torous, W., A simplified jump process for common stock returns. J. Financial Quant. Anal., 1983, 18(1), 53-65.
- (1983) J. Financial Quant. Anal , vol.18 , Issue.1 , pp. 53-65
- Ball, C.¹ Torous, W.²

2
- 48749084614
- Improving VWAP strategies: A dynamic volume approach
- Bialkowski, J., Darolles, S. and Le Fol, G., Improving VWAP strategies: A dynamic volume approach. J. Bank. Finance, 2008, 32, 1709-1722.
- (2008) J. Bank. Finance , vol.32 , pp. 1709-1722
- Bialkowski, J.¹ Darolles, S.² Fol, L.G.³

3
- 33947303150
- Jump diffusion processes-Energy price processes used for derivatives pricing and risk management
- Blanco, C. and Soronow, D., Jump diffusion processes-Energy price processes used for derivatives pricing and risk management. Commodities Now, 2001, June, 83-87.
- (2001) Commodities Now , Issue.June , pp. 83-87
- Blanco, C.¹ Soronow, D.²

4
- 0037553696
- Lacima Publications: London
- Clewlow, L. and Strickland, C., Energy Derivatives: Pricing and Risk Management, 2000 (Lacima Publications: London).
- (2000) Energy Derivatives: Pricing and Risk Management
- Clewlow, L.¹ Strickland, C.²

5
- 0003856552
- Academic Press: New York
- Dacorogna, M., Gençay, R., Müller, U., Olsen, R. and Pictet, O., Introduction to High Frequency Finance, 2001 (Academic Press: New York).
- (2001) Introduction to High Frequency Finance
- Dacorogna, M.¹ Gençay, R.² Müller, U.³ Olsen, R.⁴ Pictet, O.⁵

6
- 0000763880
- A theory of intraday variation in volume, variance and trading costs in securities market
- Foster, D. and Viswanathan, S., A theory of intraday variation in volume, variance and trading costs in securities market. Rev. Financial Stud., 1990, 3, 593-624.
- (1990) Rev. Financial Stud , vol.3 , pp. 593-624
- Foster, D.¹ Viswanathan, S.²

7
- 0035863349
- Differentiating intraday seasonalities through wavelet multiscaling
- Gençay, R., Selçuk, F. and Whitcher, B., Differentiating intraday seasonalities through wavelet multiscaling. Physica A, 2001a, 289, 543-556.
- (2001) Physica A , vol.289 , pp. 543-556
- Gençay, R.¹ Selçuk, F.² Whitcher, B.³

8
- 0003648765
- Academic Press: New York
- Gençay, R., Selçuk, F. and Whitcher, B., An Introduction to Wavelets and Other Filtering Methods in Finance and Economics, 2001b (Academic Press: New York).
- (2001) An Introduction to Wavelets and Other Filtering Methods In Finance and Economics
- Gençay, R.¹ Selçuk, F.² Whitcher, B.³

9
- 0033175553
- Intraday market activity
- Gouiéroux, C., Jasiak, J. and Le Fol, G., Intraday market activity. J. Financial Mkts., 1999, 2, 193-226.
- (1999) J. Financial Mkts , vol.2 , pp. 193-226
- Gouiéroux, C.¹ Jasiak, J.² Fol, L.G.³

10
- 11144346865
- Amacom: New York
- Kissell, R. and Glantz, M., Optimal Trading Strategies: Quantitative Approaches for Managing Market Impact and Trading Risk, 2003 (Amacom: New York).
- (2003) Optimal Trading Strategies: Quantitative Approaches For Managing Market Impact and Trading Risk
- Kissell, R.¹ Glantz, M.²

11
- 77956756761
- Working paper
- Manchaldore, J., Palit, I. and Soloviev, O.A., Intra-day trading volume. Working paper, 2007.
- (2007) Intra-day Trading Volume
- Manchaldore, J.¹ Palit, I.² Soloviev, O.A.³

12
- 34248474317
- Option pricing when the underlying stock returns are discontinuous
- Merton, R.C., Option pricing when the underlying stock returns are discontinuous. J. Financial Econ., 1976, 3, 125-144.
- (1976) J. Financial Econ , vol.3 , pp. 125-144
- Merton, R.C.¹

* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.