Optimal VWAP Trading Under Noisy Conditions

50 Pages Posted: 1 May 2009 Last revised: 21 Jun 2012

See all articles by Mark Humphery-Jenner

Mark Humphery-Jenner

UNSW Business School; Financial Research Network (FIRN)

Date Written: July 12, 2011


This article proposes an empirically tractable way to incorporate intra-day noise into a VWAP trading rule. In volatile markets, news arrives unexpectedly and rapidly. This should influence a trader’s trading decisions. However, the literature has not incorporated such information into an algorithmic trading framework. Subsequently, this paper presents a Dynamic VWAP (DVWAP) framework that allows informed traders to utilize random news; and thus, improve trade-execution.

Keywords: VWAP strategies, Algorithmic Trading, Intrday Volume

JEL Classification: C53, G12, G29

Suggested Citation

Humphery-Jenner, Mark, Optimal VWAP Trading Under Noisy Conditions (July 12, 2011). Journal of Banking and Finance, Vol. 35, No. 9, 2011, Available at SSRN: https://ssrn.com/abstract=1397484

Mark Humphery-Jenner (Contact Author)

UNSW Business School ( email )

UNSW Business School
High St
Sydney, NSW 2052

Financial Research Network (FIRN)

C/- University of Queensland Business School
St Lucia, 4071 Brisbane

HOME PAGE: http://www.firn.org.au

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