论文信息 - Optimal slice of a VWAP trade

Optimal slice of a VWAP trade

Abstract This paper derives a static optimal execution strategy of a VWAP trade, in which the optimal execution strategy can be calculated by an iteration of a single variable optimization, rather than by a multivariable optimization. Analytical solutions are derived in some cases. We show that optimal execution times lag behind expected market trading volume distribution since price volatility tends to have a positive correlation with market trading volume. In a basket trade, execution error can be reduced by spreading out execution times according to the correlation of price movement. We confirm our theoretical results with actual trading data and simulations.

Hizuru Konishi | Hizuru Konishi

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