Xunyu, Ye; Rui, Yan; Handong, Li - In: Studies in Nonlinear Dynamics & Econometrics 18 (2014) 2, pp. 20-20
We investigate the modeling and forecasting of the intra-daily volume time series in Chinese stock market with an application to dynamic Volume Weighted Average Price (VWAP) method. The empirical results show that: (1) This method performs better than the traditional static VWAP strategy; (2) By...
