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| | I'm Dolores and I live in Rapid City. <br>I'm interested in Law, Games Club - Dungeons and Dragons, Monopoly, Etc. and Swedish art. I like travelling and watching Family Guy.<br><br>my web-site: [http://minecraftonlinegames.net/profile/253276/oeker Fifa 15 Coin Generator] |
| In finance, '''volume-weighted average price (VWAP)''' is the ratio of the value traded to total [[volume]] traded over a particular time horizon (usually one day). It is a measure of the average price a [[stock]] traded at over the trading horizon.<ref name=Berkowitz>{{cite journal|last1=Berkowitz |first1=Stephen A. |last2=Logue |first2=Dennis E. |last3=Noser |first3=Eugene A. J. |date=March 1988 |title=The Total Cost of Transactions on the NYSE |journal=Journal of Finance |publisher=American Finance Association |volume=43 |issue=1 |pages=97–112}}</ref>
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| VWAP is often used as a trading [[Benchmarking|benchmark]] by investors who aim to be as passive as possible in their execution. Many [[pension fund]]s, and some [[mutual fund]]s, fall into this category. The aim of using a VWAP trading target is to ensure that the [[trader (finance)|trader]] executing the order does so in-line with volume on the market. It is sometimes argued{{By whom|date=April 2010}} that such execution reduces [[transaction costs]] by minimizing [[market impact cost]]s (the additional cost due to the [[market impact]], i.e. the adverse effect of a trader's activities on the price of a [[Security (finance)|security]]).
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| VWAP can be measured between any two points in time but is displayed as the one corresponding to elapsed time during the trading day by the information provider.
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| VWAP is often used in [[algorithmic trading]]. Indeed, a [[broker]] may guarantee execution of an order at the VWAP and have a computer program enter the orders into the market in order to earn the trader's [[Commission (remuneration)|commission]] and create [[P&L]]. This is called a guaranteed VWAP execution. The broker can also trade in a best effort way and answer to the client the realized price. This is called a VWAP target execution; it incurs more dispersion in the answered price compared to the VWAP price for the client but a lower received/paid commission. Trading algorithms that use VWAP as a target belong to a class of algorithms known as ''volume participation algorithms''.
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| ==Formula==
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| VWAP is calculated using the following formula:
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| :<math>P_{\mathrm{VWAP}} = \frac{\sum_{j}{P_j \cdot Q_j}}{\sum_j{Q_j}} \,</math>
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| where:
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| :<math>P_{\mathrm{VWAP}}</math> is Volume Weighted Average Price;
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| :<math>P_j</math> is price of trade <math>j</math>;
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| :<math>Q_j</math> is quantity of trade <math>j</math>;
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| :<math>j</math> is each individual trade that takes place over the defined period of time, excluding cross trades and basket cross trades.<ref name=investopedia>{{cite web|title=Volume Weighted Average Price (VWAP) Definition|publisher=Investopedia|url=http://www.investopedia.com/terms/v/vwap.asp|accessdate=June 14, 2012}}</ref>
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| ==See also==
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| * [[Electronic trading]]
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| * [[Time-weighted average price]]
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| ==External links==
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| * [http://asiaetrading.com/tools/vwap_performance_calculator.php Trade Performance Calculator used to compare VWAP against actual traded price]
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| == References ==
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| {{Reflist}}
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| [[Category:Mathematical finance]]
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| [[Category:Stock market]]
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I'm Dolores and I live in Rapid City.
I'm interested in Law, Games Club - Dungeons and Dragons, Monopoly, Etc. and Swedish art. I like travelling and watching Family Guy.
my web-site: Fifa 15 Coin Generator