Optimal VWAP trading under noisy conditions

Mark Humphery-Jenner

Journal of Banking & Finance, 2011, vol. 35, issue 9, 2319-2329

Abstract: 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.

Keywords: VWAP; strategies; Algorithmic; trading; Intra-day; volume (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (16)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jbfina:v:35:y:2011:i:9:p:2319-2329

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