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LBriscoe

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tT
发表于 2011-7-11 19:38 | 只看该作者

VWAP vs. Implementation shortfall

higher, volume, trade, ask
I still haven't pinned down when we use which trade.

What do we use if:
- trade is large compared to daily volume?
- there is a large bid/ask spread?
- there is higher volume at the end of the day?

 

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Unforseen

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2#
发表于 2011-7-11 19:38 | 只看该作者
1) Broker
2) Large Bid/Ask - Broker
3) VWAP

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Windjam

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3#
发表于 2011-7-11 19:38 | 只看该作者
cfaboston28 Wrote:
-------------------------------------------------------
> 3) VWAP

Why ?

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NakedPuts2011

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4#
发表于 2011-7-11 19:38 | 只看该作者
yeah, IS is front-loaded, it does most of the trades at the beginning of the day

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aidebaobao

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5#
发表于 2011-7-11 19:38 | 只看该作者
cfaboston28 Wrote:
-------------------------------------------------------
> AMC Wrote:
> --------------------------------------------------

> > cfaboston28 Wrote:
> > 3) VWAP
> > Why ?
>
> I think because IS is not suitable for the higher
> volume at the end of the day.

Why not broker ?

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susana

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6#
发表于 2011-7-11 19:38 | 只看该作者
So for part 3 (there is higher volume at the end of the day), should a broker be used or VWAP? I would have thought a broker?

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