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Improving VWAP strategies: A dynamic volume approach

Bialkowski, Jedrzej; Darolles, Serge; Le Fol, Gaëlle (2008), Improving VWAP strategies: A dynamic volume approach, Journal of Banking and Finance, 32, 9, p. 1709-1722. http://dx.doi.org/10.1016/j.jbankfin.2007.09.023

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VWAP.PDF (514.9Kb)
Type
Article accepté pour publication ou publié
Date
2008
Journal name
Journal of Banking and Finance
Volume
32
Number
9
Publisher
Elsevier
Pages
1709-1722
Publication identifier
http://dx.doi.org/10.1016/j.jbankfin.2007.09.023
Metadata
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Author(s)
Bialkowski, Jedrzej
Darolles, Serge
Le Fol, Gaëlle
Abstract (EN)
In this paper, we present a new methodology for modelling intraday volume, which allows for a reduction of the execution risk in VWAP (Volume Weighted Average Price) orders. The results are obtained for all the stocks included in the CAC40 index at the beginning of September 2004. The idea of considered models is based on the decomposition of traded volume into two parts: one reflects volume changes due to market evolution; the second describes the stock specific volume pattern. The dynamic of the specific volume part is depicted by ARMA and SETAR models. The implementation of VWAP strategies allows some dynamic adjustments during the day in order to improve tracking of the end-of-day VWAP.
Subjects / Keywords
Intraday volume; Factor models; Volume Weighted Average Price; VWAP strategies
JEL
G29 - Other
G12 - Asset Pricing; Trading Volume; Bond Interest Rates
C53 - Forecasting and Prediction Methods; Simulation Methods

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