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Quantitative Finance · Glossary

What is Dynamic VWAP?

Definition 16.6 Microstructure and Execution · Chapter 16 — Benchmark Algorithms

A dynamic VWAP schedule recomputes, after each interval, the quantity left over the intervals left in proportion to an updated forecast of their volume, instead of fixing the whole schedule before the open.

VWAP slippage of a 15 000-share buy against its schedule part, one point per simulated day. The dashed line is slippage equal to the schedule part; the points sit about 0.7 tick above it, the execution part’s spread and impact. Data: mx_algos.vwap_study.
Figure 16.3. VWAP slippage of a 15 000-share buy against its schedule part, one point per simulated day. The dashed line is slippage equal to the schedule part; the points sit about 0.7 tick above it, the execution part’s spread and impact. Data: mx_algos.vwap_study.
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