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Primary Article

VWAP Strategies

Ananth N Madhavan
Trading Spring 2002, 2002 (1) 32-39
Ananth N Madhavan
Managing director of research at ITG Inc., in New York City.
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Abstract

The performance of traders is often measured by their ability to trade at prices better than the volume-weighted average price (VWAP). The prevalence of VWAP benchmarks raises several natural questions. When is VWAP a sensible benchmark, and how does it compare with alternatives? How do traders adjust their trading strategies when measured against a VWAP metric? What are the advantages and disadvantages of alternative strategies to achieve execution close to VWAP? The author argues that while VWAP strategies are relatively straightforward from a conceptual viewpoint, their implementation is often more difficult than commonly believed.

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In this issue

Trading: 2002 (1)
Transaction Performance: The Changing Face of Trading
Vol. 2002, Issue 1
Spring 2002
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VWAP Strategies
Ananth N Madhavan
Trading Mar 2002, 2002 (1) 32-39;

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Ananth N Madhavan
Trading Mar 2002, 2002 (1) 32-39;
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