Vwap Articles

[Grey1]

Please add all VWAP articles in this thread

Grey1

 

[kako]

Hello sir

thank u for the articles, very informative, also i think i know some other VWAP Articles in this forum(tech. trader) abt VWAP, which i'll find soon and add here, if u remember the 1 which was discussing how institutions buy a block and estimate the cost of trade for block trades, using VWAP.

and for the sake of discussion:

please see the attached image, it's from one of above pdf articles. this is my question too, that even if MM use the VWAP as benchmark at the moment, and we DETECTED their behavior regarding this benchmark, they'll change their algorithm, as soon as many ppl discovered this, and try to take advantage of that repeatable behaviour. i hope i'm clear(sorry for bad english) what i mean is:
what we base our trades on, is an assumption(based on MM bahaviours) that buy/sell programs use a defined algorithm. we want to guess(or know) that algorithm and deploy that algorithm in our trades too(swimming among sharks, in non bloody water ). this is still a vague point for me, that what prevents banks, MMs, institutions, other big brothers, to change their algorithms. and whan will they change it.
a simple thinking would answer that if many ppl discover that, then for the sake of liquidity, they HAVE to change it. do u agree?

Regards
............................................
Kako

 

[kako]

Hi

i found the thread i was referring to., here's the Link.

and for this thread being the Source for VWAP, here's the direct link of the pdf article attached to above thread.

Regards
......................................
Kako

 

[moreagr]

a good read

http://www.watersonline.com/public/showPage.html?page=210394

 

[moreagr]

another

http://www.itg.com/news_events/papers/implementation_shortfall.pdf

 

[theknifemac]

another

http://www.itg.com/news_events/papers/implementation_shortfall.pdf

Increasingly hedge funds are looking at using implementation shortfall
as a way to measure performance, from their decision price to their execution price, especially with MiFiD and best execution.

Stew

 

[kako]

http://www.fastesp.com/press/ESP_in_Traders_Mag_12.04.pdf

an article from "Trader's Magazine" abt "algorithmic trading" almost vwap algorithms.

Regards
...............................
Kako

Ps. i'll appreciate if some1 find the #2 post of this thread worthy to answer

 

[Nastrader]

Traders Magazine Article - On VWAP - A traders point of view rather than a MM's.

http://www.tradersmagazine.com/column.cfm?id=208

 

[TheBramble]

Nastrader - a timely article.

I have over time adapted my own personal vwap trading strategy to take into account the increasing interest in vwap as an empirical benchmark.

The 'increasing interest' manifests itself as a tightening (lessening) of opportunity.

Some of those traders longer in the tooth than I might recognise this the onset of a strat starting to be traded flat.

It had to come.