4 research outputs found
Wavelet decomposition for intra-day volume dynamics
In a follow up to a previous paper where a model was presented for intra-day volume dynamics, we use wavelet decomposition for model parameter estimation. We run Monte-Carlo simulations of the model with these estimated parameters and compare with observed volume curves. This model in its calibrated form can be used for various execution strategies, e.g. in estimation of potential slippage deviations from VWAP benchmarks.Applied mathematical finance, Derivative pricing models, Econophysics, Trading strategies,