Flexible VWAP Executions in Electronic Trading

Posted: 21 May 2008

See all articles by Peter Gomber

Peter Gomber

Goethe University Frankfurt Faculty of Economics and Business Administration

Marco Lutat

Goethe University Frankfurt Faculty of Economics and Business Administration

Adrian Wranik

Goethe University Frankfurt - Faculty of Economics and Business Administration

Abstract

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.

Keywords: Electronic trading, Crossing, VWAP

Suggested Citation

Gomber, Peter and Lutat, Marco and Wranik, Adrian, Flexible VWAP Executions in Electronic Trading. Available at SSRN: https://ssrn.com/abstract=1134768

Peter Gomber

Goethe University Frankfurt Faculty of Economics and Business Administration ( email )

Grueneburgplatz 1
Frankfurt am Main, 60323
Germany

HOME PAGE: http://www.efinancelab.de/no_cache/team/?user_wiwipubs_pi2[showUid]=478

Marco Lutat (Contact Author)

Goethe University Frankfurt Faculty of Economics and Business Administration ( email )

Grueneburgplatz 1
Frankfurt am Main, 60323
Germany

HOME PAGE: http://www.efinancelab.de/no_cache/team/?user_wiwipubs_pi2[showUid]=548

Adrian Wranik

Goethe University Frankfurt - Faculty of Economics and Business Administration ( email )

Mertonstrasse 17-25
Frankfurt am Main, D-60325
Germany

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