Improving VWAP strategies: A dynamical volume approach
Year of publication: |
2006
|
---|---|
Authors: | Białkowski, Jedrzej ; Darolles, Serge ; Fol, Gaëlle Le |
Institutions: | Centre d'Études des Politiques Économiques (EPEE), Université d'Évry Val d'Essonne |
Subject: | Intraday Volume | VWAP Strategies | Principal Component Analysis | Arbitrage |
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