Would it be an accurate statement that a large bid-ask spread makes both implementation shortfall and VWAP strategies inappropriate? They would be better suited for a broker or Electronic Crossing Network trade?
How about the pattern of trading throughout the day? If trading is typically higher towards the end of the day would this be of benefit or detriment to any particular strategy?作者: mik82 时间: 2011-7-13 13:58
Don't quote me on this but I think:
-High Volume of trades at the end of the day is NOT APPROPRATE for ISS but doesn’t matter for VWAP.
-Low urgency: good for VWAP not good for ISS
-Large Bid/Ask Spread is not good for any algorithm strategies so go with Broker or ECN
-Size of trade ratio to Daily Volume being high is again not good for any algorithm strategies.
