Improving VWAP Strategies: A Dynamical Volume Approach
نویسندگان
چکیده
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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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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In this article, we propose a novel application for Support Vector Regression (SVR) for strategies of executing orders on stock exchanges. We use SVR for predicting volume participation function in execution strategies which try to achieve Volume Weighted Average Price (VWAP) measure of quality of the execution. Moreover, we use SVR with a priori knowledge about stock prices in order to further...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2006
ISSN: 1556-5068
DOI: 10.2139/ssrn.932699