Journal
JOURNAL OF BANKING & FINANCE
Volume 35, Issue 9, Pages 2319-2329Publisher
ELSEVIER SCIENCE BV
DOI: 10.1016/j.jbankfin.2011.01.028
Keywords
VWAP strategies; Algorithmic trading; Intra-day volume
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This article proposes an empirically tractable way to incorporate intra-day noise into a VWAP trading rule. In volatile markets, news arrives unexpectedly and rapidly. This should influence a trader's trading decisions. However, the literature has not incorporated such information into an algorithmic trading framework. Subsequently, this paper presents a Dynamic VWAP (DVWAP) framework that allows informed traders to utilize random news; and thus, improve trade-execution. (C) 2011 Elsevier B.V. All rights reserved.
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