Calvori, Francesco; Cipollini, Fabrizio; Gallo, Giampiero M. - Dipartimento di Statistica, Informatica, Applicazioni … - 2014
The Volume Weighted Average Price (VWAP) mixes volumes and prices at intra-daily intervals and is a benchmark measure frequently used to evaluate a trader's performance. Under suitable assumptions, splitting a daily order according to ex-ante volume predictions is a good strategy to replicate...
