Optimal VWAP trading under noisy conditions

被引：26
作者：
Humphery-Jenner, Mark L. [1 ,2 ]
机构：
[1] Univ New S Wales, Sch Banking & Finance, Australian Sch Business, Sydney, NSW 2052, Australia
[2] Tilburg Univ, NL-5000 LE Tilburg, Netherlands
来源：
JOURNAL OF BANKING & FINANCE | 2011年 / 35卷 / 09期
关键词：
VWAP strategies; Algorithmic trading; Intra-day volume; VOLUME; VOLATILITY; INFORMATION; MARKET; COMPETITION; STRATEGIES; LIQUIDITY; PRICES; TRADES; NEWS;
D O I：
10.1016/j.jbankfin.2011.01.028
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
This article proposes an empirically tractable way to incorporate intra-day noise into a VWAP trading rule. In volatile markets, news arrives unexpectedly and rapidly. This should influence a trader's trading decisions. However, the literature has not incorporated such information into an algorithmic trading framework. Subsequently, this paper presents a Dynamic VWAP (DVWAP) framework that allows informed traders to utilize random news; and thus, improve trade-execution. (C) 2011 Elsevier B.V. All rights reserved.
引用
收藏
页码：2319 / 2329
页数：11
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