Volume-weighted average price tracking: A theoretical and empirical study-Reference-Cited by-同舟云学术

Volume-weighted average price tracking: A theoretical and empirical study

Published:2019-12-13 Issue:8 Volume:52 Page:864-889
ISSN:2472-5854
Container-title:IISE Transactions
language:en
Short-container-title:IISE Transactions

Author:

Mitchell Daniel¹^ORCID,Białkowski Jȩdrzej²^ORCID,Tompaidis Stathis³^ORCID

Affiliation:

1. Department of Industrial and Systems Engineering, University of Minnesota Twin Cities, Minneapolis, MN, USA;

2. Department of Economics and Finance, University of Canterbury, Christchurch, New Zealand;

3. McCombs School of Business, University of Texas at Austin, Austin, TX, USA

Publisher

Informa UK Limited

Subject

Industrial and Manufacturing Engineering

Link

https://www.tandfonline.com/doi/pdf/10.1080/24725854.2019.1688896

Reference57 articles.

1. A Theory of Intraday Patterns: Volume and Price Variability

2. Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility

3. Bank of America (2007) Marching up the learning curve: The second buy-side algorithmic trading survey. Financial Insights White Paper Series, May 2005, BOA.

4. Determinants of bid-asked spreads in the over-the-counter market

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