On-line VWAP Trading Strategies

DOI10.1080/07474946.2010.487431zbMath1200.62140OpenAlexW2062835155MaRDI QIDQ4931850

Huei-Wen Teng, Cheng-Der Fuh, Ren-Her Wang

Publication date: 1 October 2010

Published in: Sequential Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474946.2010.487431

zbMATH Keywords

dynamic programmingtrading strategyboundary crossingtechnical analysisprice-volume model

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Sequential statistical methods (62L99) Applications of mathematical programming (90C90) Trade models (91B60) Dynamic programming (90C39) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

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EFFECTIVE AND SIMPLE VWAP OPTIONS PRICING MODEL, A note on randomized Shepp's urn scheme

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