As a brokerage activity, some investment banks provide volume-weighted average price (VWAP) orders to their clients. In order to build VWAP trading strategies, one crucial step is to gain knowledge of the intraday trading volume patterns as well as to track tick prices for order submissions. This thesis describes the deterministic modelling of the volume behaviour coupled with the stochastic modelling of the volume dynamics. We also investigate whether we can gain a better insight by using a whole sector approach rather than considering just a single stock. Afterwards, we discuss further research that could be carried out.
| Date of Award | 2004 |
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| Original language | English |
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| Awarding Institution | |
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- intraday
- information engineering
Modelling Intraday Trading Volume
Agopian, C. (Author). 2004
Student thesis: Master's Thesis › Master of Science (by Research)