Similar Search Results

Narrow search

Improving VWAP strategies : a dynamic volume approach

Białkowski, Je̜drzej; Darolles, Serge; LeFol, Gaëlle - In: Journal of banking & finance 32 (2008) 9, pp. 1709-1722

Persistent link: https://www.econbiz.de/10003774720

Measuring the liquidity part of volume

Darolles, Serge; LeFol, Gaëlle; Mero, Gulten - In: Journal of banking & finance 50 (2015), pp. 92-105

Persistent link: https://www.econbiz.de/10010509138

Intraday transaction price dynamics

Darolles, Serge; Gouriéroux, Christian; LeFol, Gaëlle - In: Annales d'économie et de statistique (2000), pp. 207-238

Persistent link: https://www.econbiz.de/10001543535

Mixture of distribution hypothesis : analyzing daily liquidity frictions and information flows

Darolles, Serge; LeFol, Gaëlle; Mero, Gulten - In: Journal of econometrics 201 (2017) 2, pp. 367-383

Persistent link: https://www.econbiz.de/10011920520

Improving VWAP. Strategies : A Dynamical Volume Approach

Bialkowski, Jedrzej Pawel; Darolles, Serge; Le Fol, Gaëlle - 2018

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...

Persistent link: https://www.econbiz.de/10014026740

Ajustement des prix bid et ask en présence d'information privée

Boyer, Cécile; Gouriéroux, Christian; LeFol, Gaëlle - 2001

Persistent link: https://www.econbiz.de/10001620407