Search Results - subject:"VWAP"

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Synergizing quantitative finance models and market microstructure analysis for enhanced algorithmic trading strategies

Mengshetti, Om; Gupta, Kanishk; Zade, Nilima; Kotecha, Ketan - In: Journal of open innovation : technology, market, and … 10 (2024) 3, pp. 1-11

Price (VWAP), and Moving Average Convergence/Divergence (MACD) Relative Strength Index (RSI), Exponential Moving Average … (EMA), Volume-Weighted Average Price (VWAP), and Moving Average Convergence/Divergence (MACD) to create and develop a …

Persistent link: https://www.econbiz.de/10015071775

Index design : hedging and manipulation

Jarrow, Robert A.; Li, Siguang - In: The Quarterly Journal of Finance : QJF 12 (2022) 2, pp. 1-36

Persistent link: https://www.econbiz.de/10013367706

A simple microstructural explanation of the concavity of price impact

Nadtochiy, Sergey - In: Mathematical finance : an international journal of … 32 (2022) 1, pp. 78-113

Persistent link: https://www.econbiz.de/10012815948

Principal trading arrangements : when are common contracts optimal?

Baldauf, Markus; Frei, Christoph; Mollner, Joshua - In: Management science : journal of the Institute for … 68 (2022) 4, pp. 3112-3128

Persistent link: https://www.econbiz.de/10013368385

Optimal closing benchmarks

Frei, Christoph; Mitra, Joshua - In: Finance research letters 40 (2021), pp. 1-8

Persistent link: https://www.econbiz.de/10012819155

Equilibrium effects of intraday order-splitting benchmarks

Choi, Jin Hyuk; Larsen, Kasper; Seppi, Duane J. - In: Mathematics and financial economics 15 (2021) 2, pp. 315-352

Persistent link: https://www.econbiz.de/10012500028

Research on the effects of institutional liquidation strategies on the market based on multi-agent model

Luo, Qixuan; Shi, Yu; Zhou, Xuan; Li, Handong - In: Computational economics 58 (2021) 4, pp. 1025-1049

Persistent link: https://www.econbiz.de/10012697872

Spline-DCS for forecasting trade volume in high-frequency financial data

Ito, Ryoko - 2016

Persistent link: https://www.econbiz.de/10011455712

Trading performance and market efficiency : evidence from algorithmic trading

Syamala, Sudhakara Reddy; Wadhwa, Kavita - In: Research in international business and finance 54 (2020), pp. 1-15

Persistent link: https://www.econbiz.de/10012581356

Go with the Flow: A GAS model for Predicting Intra-daily Volume Shares

Calvori, Francesco; Cipollini, Fabrizio; Gallo, Giampiero M. - Dipartimento di Statistica, Informatica, Applicazioni … - 2014

The Volume Weighted Average Price (VWAP) mixes volumes and prices at intra-daily intervals and is a benchmark measure …-ante volume predictions is a good strategy to replicate the VWAP. To bypass possible problems generated by local trends in volumes …

Persistent link: https://www.econbiz.de/10010862524