High-frequency modeling for VWAP based trading strategies a….Image.Marked.pdfVIP

High-frequency modeling for VWAP based trading strategies: a Generalized Autoregressive Score approach Francesco Calvori, Fabrizio Cipollini , Giampiero M. Gallo Abstract Market activity is proxied in the literature in a variety of ways (volatil- ity, volumes, number of trades, etc.) as a way to address the latent variable nature of the information flow. In this framework, the Volume Weighted Average Price (VWAP) is a benchmark measure based on volumes and prices at intra-daily inter- vals frequently used to evaluate a trader’s performance. Under suitable assumptions, sp