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Keywords: VWAP
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Journal Articles
Journal of Derivatives and Quantitative Studies: Seonmul yeon’gu (2014) 22 (4): 597–609.
Published: 30 November 2014
... strategy and traditional simple average strategy and compare the performances of the two methods using five minute interval intra-day data of KOSPI50 stocks. Estimations errors of the two methods from Ex Post real VWAP are computed and the relationships between the errors and other market variables...
