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

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

  1. 1、本文档共6页,可阅读全部内容。
  2. 2、原创力文档(book118)网站文档一经付费(服务费),不意味着购买了该文档的版权,仅供个人/单位学习、研究之用,不得用于商业用途,未经授权,严禁复制、发行、汇编、翻译或者网络传播等,侵权必究。
  3. 3、本站所有内容均由合作方或网友上传,本站不对文档的完整性、权威性及其观点立场正确性做任何保证或承诺!文档内容仅供研究参考,付费前请自行鉴别。如您付费,意味着您自己接受本站规则且自行承担风险,本站不退款、不进行额外附加服务;查看《如何避免下载的几个坑》。如果您已付费下载过本站文档,您可以点击 这里二次下载
  4. 4、如文档侵犯商业秘密、侵犯著作权、侵犯人身权等,请点击“版权申诉”(推荐),也可以打举报电话:400-050-0827(电话支持时间:9:00-18:30)。
查看更多
High-frequency modeling for VWAP based trading strategies a….Image.Marked

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, splitting a daily order according to ex ante volume predictions is a good strategy to replicate the VWAP. We propose a novel Generalized Autoregressive Score (GAS) based model for predicting volume shares (by intra-daily interval relative to the daily total), inspired by the empirical regularities (intra-daily periodicity patterns, residual serial dependence) of the observed series. Such an approach bypasses the need for modeling volumes directly which may be affected by local trends. An application to 6 stock tickers from the NYSE illustrates the effectiveness of the proposed model. 1 Introduction Managing transaction costs of asset trading represents a central concern in imple- menting investment decisions, especially for institutional investors. Such costs in- clude all expenses related to buying or selling a security and consist of several com- ponents with different degrees of transparency and manageability (cf. Kissel and Glantz (2003, ch. 1) for a comprehensive discussion). One of the most detrimen- Francesco Calvori ` DiSIA – Universita di Firenze, e-mail: calvori@disia.unifi.it Fabrizio Cipollini ` DiSIA – Universita di Firenze, e-mail: cipollini@disia.unifi.it Giampiero M. Gallo ` DiSIA – Universita di Firenze, e-mail: gallog@disia.unifi.it The authors thank the MIUR PRIN MISURA Project, 201

文档评论(0)

bodkd + 关注
实名认证
内容提供者

该用户很懒,什么也没介绍

1亿VIP精品文档

相关文档