Optimal VWAP trading under noisy conditions

Journal of Banking and Finance

Volumn 35, Issue 9, 2011, Pages 2319-2329

  Humphery Jenner, Mark L ^a,b  

^a UNIVERSITY OF NEW SOUTH WALES   (Australia)

^b TILBURG UNIVERSITY   (Netherlands)

Author keywords

Algorithmic trading; Intra day volume; VWAP strategies

Indexed keywords

EID: 79960157491     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jbankfin.2011.01.028     Document Type: Article

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