In this paper, we present a new methodology for modeling intraday volume which allows fora significant reduction in the Volume Weighted Average Price (VWAP) on orders risk. Theresults are obtained for the all stocks included in the CAC40 index at the beginning ofSeptember 2004. The idea of...

Decomposing returns into market and stock speci?c components is commonpractice and forms the basis of popular asset pricing models. But what aboutvolume ? Can volume be decomposed in the same way as returns ? Lo andWang (2000), in a recent paper, suggest such a decomposition. Our paperis in this...

Even though the FX market is one of the most liquid financial markets, it would be an errorto consider it immune to liquidity problems. This paper analyzes on a long sample (2000-2009), all sets ofquotes and transactions in three main currency pairs (EURJPY, EURUSD, USDJPY) on the EBS platform....