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 · Begrippenlijst
Wat is VWAP, TWAP and participation algorithms?
Ook bekend als: VWAP algorithm · TWAP algorithm · participation algorithm