Bialkowski, Jedrzej; Darolles, Serge; Le Fol, Gaëlle - Centre de Recherche en Économie et Statistique … - 2005
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...