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FINANCECOM
2007
Springer

Flexible VWAP Executions in Electronic Trading

10 years 1 months ago
Flexible VWAP Executions in Electronic Trading
For the execution of large equity orders, institutional investors often use the Volume Weighted Average Price (VWAP) as a benchmark to measure execution quality. To achieve this, they have the possibility to either cross their orders in a non-intermediated electronic system or to submit a VWAP agency order to a broker that executes the orders manually. Though more expensive in explicit costs, in particular due to higher flexibility, agency VWAP is still more attractive to investors than VWAP crossings. This work proposes a new electronic crossing model addressing and solving the flexibility restrictions present in today’s VWAP crossing.
Peter Gomber, Marco Lutat, Adrian Wranik
Added 07 Jun 2010
Updated 07 Jun 2010
Type Conference
Year 2007
Where FINANCECOM
Authors Peter Gomber, Marco Lutat, Adrian Wranik
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