Agopian, C (2004). Modelling Intraday Trading Volume. Masters thesis, Aston University.
Abstract
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.
| Publication DOI: | https://doi.org/10.48780/publications.aston.ac.uk.00021413 |
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| Divisions: | College of Engineering & Physical Sciences |
| Additional Information: | Copyright © Agopian, C. 2004. C Agopian asserts their moral right to be identified as the author of this thesis. This copy of the thesis has been supplied on condition that anyone who consults it is understood to recognise that its copyright rests with its author and that no quotation from the thesis and no information derived from it may be published without appropriate permission or acknowledgement. If you have discovered material in Aston Publications Explorer which is unlawful e.g. breaches copyright, (either yours or that of a third party) or any other law, including but not limited to those relating to patent, trademark, confidentiality, data protection, obscenity, defamation, libel, then please read our Takedown Policy and contact the service immediately. |
| Institution: | Aston University |
| Uncontrolled Keywords: | intraday,information engineering |
| Last Modified: | 07 May 2025 15:01 |
| Date Deposited: | 19 Mar 2014 10:40 |
| Completed Date: | 2004 |
| Authors: |
Agopian, C
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