A dynamic, volume-weighted average price approach based on the fast fourier transform algorithm
Year of publication: |
2013
|
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Authors: | Li, Handong ; Ye, Xunyu |
Published in: |
Asia-Pacific journal of financial studies. - Richmond : Wiley-Blackwell, ISSN 2041-9945, ZDB-ID 2616683-5. - Vol. 42.2013, 6, p. 969-991
|
Subject: | Algorithmic trading | Fast Fourier Transform | Intraday volume prediction | Volume-weighted average price strategy | Optionspreistheorie | Option pricing theory | Elektronisches Handelssystem | Electronic trading | Algorithmus | Algorithm |
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