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

We develop a model of the daily return-volume relationship which incorporates information and liquidity shocks. First, we distinguish between two trading strategies, information-based and liquidity-based trading and suggest that their respective impacts on returns and volume should be modeled...

Based on the concept that the presence of liquidity frictions can increase the daily traded volume, we develop an extended version of the mixture of distribution hypothesis model (MDH) along the lines of Tauchen and Pitts (1983) to measure the liquidity portion of volume. Our approach relies on...

[eng] New investment management techniques and their impact on volatility . The growth of alternative investment has been considerable in recent years. However, the impact on markets or more precisely, on markets volatility, of the new induced management techniques is still not clear. In this...

[fre] The effect of matching procedures on trades. . The trading systems used on financial markets differ in terms of matching procedures, selected norms to write contracts, existence or not of intermediaries to ensure liquidity, market transparency... We are interested in measuring the direct...

Even though the FX market is one of the most liquid financial market, it would be an error to consider that it is immune against any liquidity problem. This paper analyzes on a long sample (2000-2009), the all set of quotes and transactions in three main currency pairs (EURJPY, EURUSD, USDJPY)...

Nous discutons la pertinence de mesurer le risque par les volatilités. Nous appuyant sur les études récentes sur données de cotation et sur la spécificité des produits dérivés, nous proposons des mesures complémentaires de façon à traiter les effets volumes et temps, et à tenir...