Optimal VWAP Trading Strategy and Relative Volume
AbstractVolume 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.
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Bibliographic InfoPaper provided by Quantitative Finance Research Centre, University of Technology, Sydney in its series Research Paper Series with number 201.
Date of creation: 01 Sep 2007
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