Optimal slice of a VWAP trade

被引：39

作者：

Konishi, H ^{[1
]}

机构：

[1] Univ Tsukuba, Tokyo Mitsubishi Securit, Tsukuba, Ibaraki 305, Japan

来源：

JOURNAL OF FINANCIAL MARKETS | 2002年 / 5卷 / 02期

关键词：

market microstructure; VWAP trade; optimal trade execution;

D O I：

10.1016/S1386-4181(01)00023-4

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

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. (C) 2002 Elsevier Science B.V. All rights reserved.

引用

页码：197 / 221

页数：25

共 13 条

[1] A Theory of Intraday Patterns: Volume and Price Variability [J].

Admati, Anat R. ;

Pfleiderer, Paul .

REVIEW OF FINANCIAL STUDIES, 1988, 1 (01) :3-40

[2] Return volatility and trading volume: An information flow interpretation of stochastic volatility [J].

Andersen, TG .

JOURNAL OF FINANCE, 1996, 51 (01) :169-204

[3]

Bertsimas D., 1998, J FINANCIAL MARKETS, V1, P1, DOI DOI 10.1016/S1386-4181(97)00012-8

[4]

CHAN KC, 1995, J BUS, V68, P35, DOI 10.1086/296652

[5] SUBORDINATED STOCHASTIC-PROCESS MODEL WITH FINITE VARIANCE FOR SPECULATIVE PRICES [J].

CLARK, PK .

ECONOMETRICA, 1973, 41 (01) :135-155

[6] STOCHASTIC DEPENDENCE OF SECURITY PRICE CHANGES AND TRANSACTION VOLUMES - IMPLICATIONS FOR MIXTURE OF DISTRIBUTIONS HYPOTHESIS [J].

EPPS, TW ;

EPPS, ML .

ECONOMETRICA, 1976, 44 (02) :305-321

[7] A THEORY OF THE INTERDAY VARIATIONS IN VOLUME, VARIANCE, AND TRADING COSTS IN SECURITIES MARKETS [J].

FOSTER, FD ;

VISWANATHAN, S .

REVIEW OF FINANCIAL STUDIES, 1990, 3 (04) :593-624

[8] Market vs limit orders: The SuperDOT evidence on order submission strategy [J].

Harris, L ;

Hasbrouck, J .

JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS, 1996, 31 (02) :213-231

[9] THE DEPENDENCE BETWEEN HOURLY PRICES AND TRADING VOLUME [J].

JAIN, PC ;

JOH, GH .

JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS, 1988, 23 (03) :269-283

[10] THE RELATION BETWEEN PRICE CHANGES AND TRADING VOLUME - A SURVEY [J].

KARPOFF, JM .

JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS, 1987, 22 (01) :109-126

← 1 2 →