A Trading System for Flexible VWAP Executions as a Design Artefact
13th Pacific Asia Conference on Information Systems (PACIS), Hyderabad, India
Posted: 23 Sep 2009
Date Written: September 21, 2009
Volume Weighted Average Price (VWAP) is widely used by institutional investors as benchmark for the execution of large equity orders. To meet the benchmark, investors have the possibility to either cross their orders in a non-intermediated electronic system or to submit a VWAP agency order to a broker. A design artifact addressing and solving the flexibility restrictions present in today’s VWAP crossing is the flexible VWAP crossing model. This work extends the model presenting the rescaling and carrying functions and demonstrating a prototype trading system utilizing the model. Pilot runs show the crossing ratio of the system using random data.
Keywords: VWAP, securities trading, trading system, design research
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