Search Results - subject:"volume weighted average price"

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

Robust benchmark design

Duffie, Darrell; Dworczak, Piotr - In: Journal of financial economics 142 (2021) 2, pp. 775-802

Persistent link: https://www.econbiz.de/10013260062

Algorithmic trading in turbulent markets

Zhou, Hao; Kalev, Petko S.; Frino, Alex - In: Pacific-Basin finance journal 62 (2020), pp. 1-27

Persistent link: https://www.econbiz.de/10012491255

Volume weighted volatility : empirical evidence for a new realised volatility measure

Padungsaksawasdi, Chaiyuth; Daigler, Robert T. - In: International journal of banking, accounting and finance 9 (2018) 1, pp. 61-87

Persistent link: https://www.econbiz.de/10011955195

Average holding price

Liu, Yehong; Yin, Guosheng - In: Annals of financial economics 13 (2018) 1, pp. 1-20

Persistent link: https://www.econbiz.de/10011900662

A dynamic, volume-weighted average price approach based on the fast fourier transform algorithm

Li, Handong; Ye, Xunyu - In: Asia-Pacific journal of financial studies 42 (2013) 6, pp. 969-991

Persistent link: https://www.econbiz.de/10010251322

An empirical analysis of corporate insiders' trading performance

Lei, Qin; Rajan, Murli; Wang, Xuewu - In: China Finance Review International 2 (2012) 3, pp. 246-264

insiders. Design/methodology/approach – Based on the volume weighted average price (VWAP), the authors propose a metric to …

Persistent link: https://www.econbiz.de/10014694476

An empirical analysis of corporate insiders' trading performance

Lei, Qin; Rajan, Murli; Wang, Xuewu - In: China Finance Review International 2 (2012) June, pp. 246-264

insiders. Design/methodology/approach–Based on the volume weighted average price (VWAP), the authors propose a metric to …

Persistent link: https://www.econbiz.de/10010561544

A MOMENT MATCHING APPROACH TO THE VALUATION OF A VOLUME WEIGHTED AVERAGE PRICE OPTION

STACE, ANTONY WILLIAM - In: International Journal of Theoretical and Applied … 10 (2007) 01, pp. 95-110

distribution are obtained by matching the first two moments of the volume weighted average price with a lognormal process. A price …In this paper we develop a method to find the price of several options whose payoff depends on a volume weighted … average price (VWAP). Fixed and floating strike VWAP, together with digital VWAP contracts are considered. Throughout we …

Persistent link: https://www.econbiz.de/10005050521