The Volume Weighted Average Price Strategy Based on Instantaneous Volume and Return Adjusted Dynamically

Journal of Shanghai Jiaotong University ›› 2013, Vol. 47 ›› Issue (03): 459-464.

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The Volume Weighted Average Price Strategy Based on Instantaneous Volume and Return Adjusted Dynamically

ZHOU Ren-Cai-1, CHEN Xiao-Wen-2

(1．Orient Securities Co. Ltd., Shanghai 200010, China； 2．Shanghai Communications Polytechnic, Shanghai 200431, China)

Received:2012-03-20 Online:2013-03-28 Published:2013-03-28

Abstract

Abstract: After summarizing the feature about volume weighted average price(VWAP) algorithm, this article proposed a new VWAP strategy. The intraday volume share is decomposed into market part and specific part. The dynamics of specific part is described by volume-return vector autoregression(VAR) model. The result of empirical study shows that the VWAP-VAR strategy presented in this article can reduce the track error and execution risk in VWAP order, and its performance is better than that of the classical VWAP strategy and VWAP-ARMA strategy.

Key words: volume weighted average price(VWAP), vector autoregression(VAR), intraday volume, high frequency trade

CLC Number:

F 830.91

ZHOU Ren-Cai-1, CHEN Xiao-Wen-2. The Volume Weighted Average Price Strategy Based on Instantaneous Volume and Return Adjusted Dynamically[J]. Journal of Shanghai Jiaotong University, 2013, 47(03): 459-464.

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The Volume Weighted Average Price Strategy Based on Instantaneous Volume and Return Adjusted Dynamically

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