Wavelet decomposition for intra-day volume dynamics

Jaisimha Manchaldore, Imon Palit, Oleg Soloviev

Research output: Contribution to journalArticleResearchpeer-review

13 Citations (Scopus)

Abstract

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.
Original languageEnglish
Pages (from-to)917 - 930
Number of pages14
JournalQuantitative Finance
Volume10
Issue number8
DOIs
Publication statusPublished - 2010
Externally publishedYes

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