VWAP execution as an optimal strategy
نویسندگان
چکیده
منابع مشابه
Optimal VWAP Trading Strategy and Relative Volume
Volume Weighted Average Price (VWAP) for a stock is total traded value divided by total traded volume. It is a simple quality of execution measurement popular with institutional traders to measure the price impact of trading stock. This paper uses classic mean-variance optimization to develop VWAP strategies that attempt to trade at better than the market VWAP. These strategies exploit expected...
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We consider the optimal liquidation of a position of stock (long or short) where trading has a temporary market impact on the price. The aim is to minimize both the mean and variance of the order slippage with respect to a benchmark given by the market VWAP (volume weighted average price). In this setting, we introduce a new model for the relative volume curve which allows simultaneously for ac...
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Volume Weighted Average Price (VWAP) for a traded financial asset is total traded value divided by total traded volume. It is a quality of execution metric popular with institutional traders for measuring the price impact of trading. VWAP is also a ‘virtuous trade’ that minimizes price impact by spreading the liquidity demand of large orders across the trading period. The optimal mean-variance ...
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ژورنال
عنوان ژورنال: JSIAM Letters
سال: 2015
ISSN: 1883-0609,1883-0617
DOI: 10.14495/jsiaml.7.33