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标题: VWAP vs. Implementation shortfall [打印本页]

作者: LBriscoe 时间: 2011-7-11 19:38 标题: VWAP vs. Implementation shortfall

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?

作者: Unforseen 时间: 2011-7-11 19:38

1) Broker
2) Large Bid/Ask - Broker
3) VWAP

作者: Windjam 时间: 2011-7-11 19:38

cfaboston28 Wrote:
-------------------------------------------------------
> 3) VWAP

Why ?

作者: NakedPuts2011 时间: 2011-7-11 19:38

yeah, IS is front-loaded, it does most of the trades at the beginning of the day

作者: aidebaobao 时间: 2011-7-11 19:38

cfaboston28 Wrote:
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> 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 ?

作者: susana 时间: 2011-7-11 19:38

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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