Optimal VWAP Trading Strategy and Relative Volume
نویسندگان
چکیده
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 price drift by optimally ‘front-loading’ or ‘back-loading’ traded volume away from the minimum VWAP risk strategy. ∗ c © Copyright James McCulloch, Vladimir Kazakov, 2007. Contact email [email protected] 1
منابع مشابه
Optimal VWAP Trading and Relative Volume∗
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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