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

See all articles by Adrian Wranik

Adrian Wranik

Goethe University Frankfurt - Faculty of Economics and Business Administration

Date Written: September 21, 2009

Abstract

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

Suggested Citation

Wranik, Adrian, A Trading System for Flexible VWAP Executions as a Design Artefact (September 21, 2009). 13th Pacific Asia Conference on Information Systems (PACIS), Hyderabad, India. Available at SSRN: https://ssrn.com/abstract=1476280

Adrian Wranik (Contact Author)

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

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

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