Wavelet decomposition for intra-day volume dynamics

In a follow up to a previous paper where a model was presented for intra-day volume dynamics, we use wavelet decomposition for model parameter estimation. We run Monte-Carlo simulations of the model with these estimated parameters and compare with observed volume curves. This model in its calibrated form can be used for various execution strategies, e.g. in estimation of potential slippage deviations from VWAP benchmarks.

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Year of publication:	2010
Authors:	Manchaldore, Jaisimha ; Palit, Imon ; Soloviev, Oleg
Published in:	Quantitative Finance. - Taylor & Francis Journals, ISSN 1469-7688. - Vol. 10.2010, 8, p. 917-930
Publisher:	Taylor & Francis Journals
Subject:	Applied mathematical finance \| Derivative pricing models \| Econophysics \| Trading strategies

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008675051