Add to ORKGInternational audienceThis paper proposes a new dynamic approach to modelling intra-day trading volume based on factor models. It assumes that intra-day volume can be decomposed into two parts each predicted using separate time-series models. By enabling more accurate prediction of intra-day volume, this methodology allows for a significant reduction in the cost of executing Volume Weighted Average Price orders
In a follow up to a previous paper where a model was presented for intra-day volume dynamics, we use...
International audienceThis paper develops a model for stock trading which takes intoaccount both inf...
International audienceThis paper presents a study of intra-day patterns of stock market activity and...
International audienceThis paper proposes a new dynamic approach to modelling intra-day trading volu...
This paper proposes a new dynamic approach to modelling intra-day trading volume based on factor mod...
International audienceIn this paper, we present a new methodology for modelling intraday volume, whi...
In this paper, we present a new methodology for modeling intraday volume which allows for a reducti...
In this paper, we present a new methodology for modeling intraday volume which allows for a reductio...
The explosion of algorithmic trading has been one the most recent prominent trends in the financial ...
This paper presents a continuous-time model of intraday trading, pricing, and liquidity with dynamic...
In this paper, I model the intraday trading activity based on volume durations, i.e. the waiting tim...
This article proposes an empirically tractable way to incorporate intra-day noise into a VWAP tradin...
In this paper, the vector autoregressive model is fitted to find out the causal relationship among r...
The aim of this dissertation is to construct different intraday volatility forecasting techniques fo...
This paper investigates the role of intraday prices and volume to generate daily volatility forecast...
In a follow up to a previous paper where a model was presented for intra-day volume dynamics, we use...
International audienceThis paper develops a model for stock trading which takes intoaccount both inf...
International audienceThis paper presents a study of intra-day patterns of stock market activity and...
International audienceThis paper proposes a new dynamic approach to modelling intra-day trading volu...
This paper proposes a new dynamic approach to modelling intra-day trading volume based on factor mod...
International audienceIn this paper, we present a new methodology for modelling intraday volume, whi...
In this paper, we present a new methodology for modeling intraday volume which allows for a reducti...
In this paper, we present a new methodology for modeling intraday volume which allows for a reductio...
The explosion of algorithmic trading has been one the most recent prominent trends in the financial ...
This paper presents a continuous-time model of intraday trading, pricing, and liquidity with dynamic...
In this paper, I model the intraday trading activity based on volume durations, i.e. the waiting tim...
This article proposes an empirically tractable way to incorporate intra-day noise into a VWAP tradin...
In this paper, the vector autoregressive model is fitted to find out the causal relationship among r...
The aim of this dissertation is to construct different intraday volatility forecasting techniques fo...
This paper investigates the role of intraday prices and volume to generate daily volatility forecast...
In a follow up to a previous paper where a model was presented for intra-day volume dynamics, we use...
International audienceThis paper develops a model for stock trading which takes intoaccount both inf...
International audienceThis paper presents a study of intra-day patterns of stock market activity and...