算法交易策略VWAP

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1、CompetitiveAlgorithmsforVWAPandLimitOrderTradingShamM.KakadeMichaelKearnsComputerandInformationScienceComputerandInformationScienceUniversityofPennsylvaniaUniversityofPennsylvaniakakade@linc.cis.upenn.edumkearns@cis.upenn.eduYishayMansourLuisE.OrtizCom

2、puterScienceComputerandInformationScienceTelAvivUniversityUniversityofPennsylvaniamansour@post.tau.ac.illeortiz@linc.cis.upenn.eduABSTRACTVWAP,trading.Informally,theVWAPofastockoveraspeciedmarketperiodissimplytheaveragepricepaidperWeintroducenewonline

3、modelsfortwoimportantaspectsshareduringthatperiod,sothepriceofeachtransactioninofmodernnancialmarkets:VolumeWeightedAveragePricethemarketisweightedbyitsvolume.InVWAPtrading,tradingandlimitorderbooks.Weprovideanextensiveoneattemptstobuyorsellaxednumbe

4、rofsharesatastudyofcompetitivealgorithmsinthesemodelsandrelatepricethatcloselytrackstheVWAP.themtoearlieronlinealgorithmsforstocktrading.VerylargeinstitutionaltradesconstituteoneofthemainmotivationsbehindVWAPactivity.AtypicalscenariogoesCategoriesandSu

5、bjectDescriptorsasfollows.Supposeaverylargemutualfundholds3%ofF.2[AnalysisofAlgorithmsandProblemComplex-theoutstandingsharesofalarge,publiclytradedcompanyity]:Miscellaneous;J.4[SocialandBehavioralSciences]:

6、ahugefractionoftheshares

7、andthatthisfund'sman

8、-Economicsagerdecideshewouldliketoreducethisholdingto2%overa1-monthperiod.(SuchadecisionmightbeforcedbytheGeneralTermsfund'sownregulationsorotherconsiderations.)Typically,suchafundmanagerwouldbeunqualiedtosellsuchalargeAlgorithms,Economicsnumberofshar

9、esintheopenmarket

10、itrequiresaprofes-sionalbrokertointelligentlybreakthetradeupovertime,Keywordsandpossiblyovermultipleexchanges,inordertominimizethemarketimpactofsuchasizabletransaction.Thus,theOnlineTrading,CompetitiveAnalysis,VWAPfundmanagerwouldappr

11、oachbrokeragesforhelpinsellingthe1%.Thebrokeragewilltypicallyalleviatethefundmanager's1.INTRODUCTIONproblemimmediatelybysimplybuyingthesharesdirectlyWhilepopularimagesofWallStreetoftendepictswash-fromthefundmanager,andthensellingthemol