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- W2366089417 abstract "After summarizing the feature about volume weighted average price(VWAP) algorithm,this article proposed a new VWAP strategy.The intraday volume share is decomposed into market part and specific part.The dynamics of specific part is described by volume-return vector autoregression(VAR) model.The result of empirical study shows that the VWAP-VAR strategy presented in this article can reduce the track error and execution risk in VWAP order,and its performance is better than that of the classical VWAP strategy and VWAP-ARMA strategy." @default.
- W2366089417 created "2016-06-24" @default.
- W2366089417 creator A5008500554 @default.
- W2366089417 date "2013-01-01" @default.
- W2366089417 modified "2023-09-23" @default.
- W2366089417 title "The Volume Weighted Average Price Strategy Based on Instantaneous Volume and Return Adjusted Dynamically" @default.
- W2366089417 hasPublicationYear "2013" @default.
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