{"id":"https://openalex.org/W2011903355","doi":"https://doi.org/10.1016/s1386-4181(01)00023-4","title":"Optimal slice of a VWAP trade","display_name":"Optimal slice of a VWAP trade","publication_year":2002,"publication_date":"2002-04-01","ids":{"openalex":"https://openalex.org/W2011903355","doi":"https://doi.org/10.1016/s1386-4181(01)00023-4","mag":"2011903355"},"language":"en","primary_location":{"id":"doi:10.1016/s1386-4181(01)00023-4","doi":"https://doi.org/10.1016/s1386-4181(01)00023-4","is_oa":false,"landing_page_url":"https://doi.org/10.1016/s1386-4181(01)00023-4","pdf_url":null,"source":{"id":"https://openalex.org/S127646213","display_name":"Journal of Financial Markets","issn_l":"1386-4181","issn":["1386-4181","1878-576X"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a-star","anvur-class-a","anvur-scientific","cwts-core","fnege-2","jufo-2","norway-2","poland-100","russia-white-list-1","vabb-shw"],"host_organization":"https://openalex.org/P4310320990","host_organization_name":"Elsevier BV","host_organization_lineage":["https://openalex.org/P4310320990"],"host_organization_lineage_names":["Elsevier BV"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Journal of Financial Markets","raw_type":"journal-article"},"volume":null,"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5085023748","display_name":"Hizuru Konishi","orcid":null,"observed_orcids":[]},"institutions":[{"id":"https://openalex.org/I146399215","display_name":"University of Tsukuba","ror":"https://ror.org/02956yf07","country_code":"JP","type":"education","lineage":["https://openalex.org/I146399215"]}],"countries":["JP"],"is_corresponding":true,"raw_author_name":"Hizuru Konishi","raw_affiliation_strings":["Tokyo-Mitsubishi Securities, University of Tsukuba, Japan"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Tokyo-Mitsubishi Securities, University of Tsukuba, Japan","institution_ids":["https://openalex.org/I146399215"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":1,"corresponding_author_ids":["https://openalex.org/A5085023748"],"corresponding_institution_ids":["https://openalex.org/I146399215"],"apc_list":{"value":2950,"currency":"USD","value_usd":2950},"apc_paid":null,"fwci":0.5474,"has_fulltext":false,"cited_by_count":71,"citation_normalized_percentile":{"value":0.81590574,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":93,"max":99},"biblio":{"volume":"5","issue":"2","first_page":"197","last_page":"221"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.8804000020027161,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.8804000020027161,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.11299999803304672,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11413","display_name":"Risk and Portfolio Optimization","score":0.0031999999191612005,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/volume-weighted-average-price","display_name":"VWAP","score":0.6129999756813049},{"id":"https://openalex.org/keywords/optimal-execution","display_name":"optimal execution","score":0.7450000047683716},{"id":"https://openalex.org/keywords/trade-execution","display_name":"trade execution","score":0.3700000047683716},{"id":"https://openalex.org/keywords/market-impact","display_name":"price impact","score":0.4959999918937683},{"id":"https://openalex.org/keywords/execution-time","display_name":"execution time","score":0.503000020980835},{"id":"https://openalex.org/keywords/trading-volume","display_name":"trading volume","score":0.6460000276565552},{"id":"https://openalex.org/keywords/price-volatility","display_name":"price volatility","score":0.9879999756813049},{"id":"https://openalex.org/keywords/execution-errors","display_name":"execution errors","score":0.9549999833106995},{"id":"https://openalex.org/keywords/single-variable-optimization","display_name":"single-variable optimization","score":0.5910000205039978},{"id":"https://openalex.org/keywords/analytical-solution","display_name":"analytical solution","score":0.8360000252723694}],"concepts":[{"id":"https://openalex.org/C115392374","wikidata":"https://www.wikidata.org/wiki/Q7940823","display_name":"Volume-weighted average price","level":5,"score":0.8354814052581787},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.5495240092277527},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.5482556819915771},{"id":"https://openalex.org/C24683644","wikidata":"https://www.wikidata.org/wiki/Q138372","display_name":"High-frequency trading","level":3,"score":0.5350801348686218},{"id":"https://openalex.org/C78508483","wikidata":"https://www.wikidata.org/wiki/Q139445","display_name":"Algorithmic trading","level":2,"score":0.5203204154968262},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.44589024782180786},{"id":"https://openalex.org/C131562839","wikidata":"https://www.wikidata.org/wiki/Q1574928","display_name":"Trading strategy","level":2,"score":0.4387805163860321},{"id":"https://openalex.org/C182365436","wikidata":"https://www.wikidata.org/wiki/Q50701","display_name":"Variable (mathematics)","level":2,"score":0.43614447116851807},{"id":"https://openalex.org/C20556612","wikidata":"https://www.wikidata.org/wiki/Q4469374","display_name":"Volume (thermodynamics)","level":2,"score":0.43589940667152405},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.4099532663822174},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.28487005829811096},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.21852797269821167},{"id":"https://openalex.org/C143724316","wikidata":"https://www.wikidata.org/wiki/Q312468","display_name":"Series (stratigraphy)","level":2,"score":0.19361966848373413},{"id":"https://openalex.org/C47143671","wikidata":"https://www.wikidata.org/wiki/Q1450203","display_name":"Cost price","level":4,"score":0.10485157370567322},{"id":"https://openalex.org/C86803240","wikidata":"https://www.wikidata.org/wiki/Q420","display_name":"Biology","level":0,"score":0.0},{"id":"https://openalex.org/C134306372","wikidata":"https://www.wikidata.org/wiki/Q7754","display_name":"Mathematical analysis","level":1,"score":0.0},{"id":"https://openalex.org/C151730666","wikidata":"https://www.wikidata.org/wiki/Q7205","display_name":"Paleontology","level":1,"score":0.0},{"id":"https://openalex.org/C62520636","wikidata":"https://www.wikidata.org/wiki/Q944","display_name":"Quantum mechanics","level":1,"score":0.0},{"id":"https://openalex.org/C2988984586","wikidata":"https://www.wikidata.org/wiki/Q1020013","display_name":"Stock price","level":3,"score":0.0},{"id":"https://openalex.org/C121332964","wikidata":"https://www.wikidata.org/wiki/Q413","display_name":"Physics","level":0,"score":0.0}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.1016/s1386-4181(01)00023-4","doi":"https://doi.org/10.1016/s1386-4181(01)00023-4","is_oa":false,"landing_page_url":"https://doi.org/10.1016/s1386-4181(01)00023-4","pdf_url":null,"source":{"id":"https://openalex.org/S127646213","display_name":"Journal of Financial Markets","issn_l":"1386-4181","issn":["1386-4181","1878-576X"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a-star","anvur-class-a","anvur-scientific","cwts-core","fnege-2","jufo-2","norway-2","poland-100","russia-white-list-1","vabb-shw"],"host_organization":"https://openalex.org/P4310320990","host_organization_name":"Elsevier BV","host_organization_lineage":["https://openalex.org/P4310320990"],"host_organization_lineage_names":["Elsevier BV"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Journal of Financial Markets","raw_type":"journal-article"},{"id":"pmh:oai:RePEc:eee:finmar:v:5:y:2002:i:2:p:197-221","doi":null,"is_oa":false,"landing_page_url":"http://www.sciencedirect.com/science/article/pii/S1386-4181(01)00023-4","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"article"}],"best_oa_location":null,"sustainable_development_goals":[],"sustainable_development_goals_aurora":[{"score":0.49000000953674316,"display_name":"Partnerships for the goals","id":"https://metadata.un.org/sdg/17"}],"study_designs":[],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":13,"referenced_works":["https://openalex.org/W2001770658","https://openalex.org/W2033815796","https://openalex.org/W2038295726","https://openalex.org/W2080971293","https://openalex.org/W2103824572","https://openalex.org/W2110752212","https://openalex.org/W2119643020","https://openalex.org/W2127500355","https://openalex.org/W2153146814","https://openalex.org/W2157403008","https://openalex.org/W2157495061","https://openalex.org/W2167759315","https://openalex.org/W2487053418"],"related_works":["https://openalex.org/W2107452099","https://openalex.org/W3123103993","https://openalex.org/W2179416887","https://openalex.org/W1727964613","https://openalex.org/W2121536462","https://openalex.org/W3123296813","https://openalex.org/W2984866371","https://openalex.org/W1590795930","https://openalex.org/W7134967099","https://openalex.org/W2909861430"],"abstract_inverted_index":null,"counts_by_year":[{"year":2026,"cited_by_count":2},{"year":2025,"cited_by_count":7},{"year":2023,"cited_by_count":2},{"year":2022,"cited_by_count":6},{"year":2021,"cited_by_count":4},{"year":2020,"cited_by_count":2},{"year":2019,"cited_by_count":3},{"year":2018,"cited_by_count":4},{"year":2017,"cited_by_count":4},{"year":2016,"cited_by_count":2},{"year":2015,"cited_by_count":5},{"year":2014,"cited_by_count":7},{"year":2013,"cited_by_count":11}],"updated_date":"2026-10-14T16:39:01.820549","created_date":"2016-06-24T00:00:00"}
