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 …

The world of finance is an exciting and challenging environment. Recent years have seen
an explosion in the application of computational intelligence methodologies in finance. In …

Many asset managers use sell-side brokers to buy and sell shares of common stock.
Typically, orders are distributed between several brokers using so-called algo wheels. This …

Abstract The Volume Weighted Average Price (VWAP) mixes volumes and prices at intra-
daily intervals and is a benchmark measure frequently used to evaluate a trader's …

We introduce a new conceptually superior realised volatility estimator, volume weighted
volatility (VWV), which effectively measures demand-based volatility, rather than only …

In this paper, we apply Bayesian inference to model and forecast intraday trading volume,
using autoregressive conditional volume (ACV) models, and we evaluate the quality of …

In this article, we propose a novel application for Support Vector Regression (SVR) for order
execution strategies on stock exchanges. We use SVR for predicting volume participation …

In this thesis, we present results for research conducted by the author regarding the
regression method, called δ support vector regression (δ-SVR), the method of incorporating …

Abstract Volume Weighted Average Price (VWAP) is widely used by institutional investors as
benchmark for the execution of large equity orders. To meet the benchmark, investors have …

How to reduce the risk of executing VWAP orders? - New approach to modeling intraday
volume Page 1 How to reduce the risk of executing VWAP orders? - New approach to …