T. Kato. (2014)cite arxiv:1408.6118Comment: 11 pages, 3 figures.
Abstract
The volume weighted average price (VWAP) execution strategy is well known and
widely used in practice. In this study, we explicitly introduce a trading
volume process into the Almgren--Chriss model, which is a standard model for
optimal execution. We then show that the VWAP strategy is the optimal execution
strategy for a risk-neutral trader. Moreover, we examine the case of a
risk-averse trader and derive the first-order asymptotic expansion of the
optimal strategy for a mean-variance optimization problem.
%0 Generic
%1 kato2014execution
%A Kato, Takashi
%D 2014
%K quantfinance trading vwap
%T VWAP Execution as an Optimal Strategy
%U http://arxiv.org/abs/1408.6118
%X The volume weighted average price (VWAP) execution strategy is well known and
widely used in practice. In this study, we explicitly introduce a trading
volume process into the Almgren--Chriss model, which is a standard model for
optimal execution. We then show that the VWAP strategy is the optimal execution
strategy for a risk-neutral trader. Moreover, we examine the case of a
risk-averse trader and derive the first-order asymptotic expansion of the
optimal strategy for a mean-variance optimization problem.
@misc{kato2014execution,
abstract = {The volume weighted average price (VWAP) execution strategy is well known and
widely used in practice. In this study, we explicitly introduce a trading
volume process into the Almgren--Chriss model, which is a standard model for
optimal execution. We then show that the VWAP strategy is the optimal execution
strategy for a risk-neutral trader. Moreover, we examine the case of a
risk-averse trader and derive the first-order asymptotic expansion of the
optimal strategy for a mean-variance optimization problem.},
added-at = {2015-02-05T15:46:07.000+0100},
author = {Kato, Takashi},
biburl = {https://www.bibsonomy.org/bibtex/230049fdedf828e010805205512da5496/shabbychef},
description = {VWAP Execution as an Optimal Strategy},
interhash = {a4b0a025026e968d1511a49529c9771b},
intrahash = {30049fdedf828e010805205512da5496},
keywords = {quantfinance trading vwap},
note = {cite arxiv:1408.6118Comment: 11 pages, 3 figures},
timestamp = {2015-02-05T15:46:07.000+0100},
title = {VWAP Execution as an Optimal Strategy},
url = {http://arxiv.org/abs/1408.6118},
year = 2014
}