CoachA VWAP algorithm trades each interval’s quantity in proportion to the share of the day’s volume it expects there, aiming at the day’s volume-weighted average price. A TWAP algorithm trades equal quantities in equal intervals, aiming at the time-weighted average price. A participation algorithm trades a fixed percentage of volume as the volume prints, so that its schedule follows the market instead of a forecast.
Quantitative Finance · Glossaire
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Aussi appelé : VWAP algorithm · TWAP algorithm · participation algorithm