Faculty of Economics and Business Administration Publications Database

Flexible VWAP Executions in Electronic Trading

Authors:
Lutat, Marco
Wranik, Adrian
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
Year: 2008
Link External Source: Online Version
Book Title: Enterprise Applications and Services in the Finance Industry
ISBN: 978-3540785491
Adress: Berlin Heidelberg 2008
Editor: Veit, Daniel J. / Kundisch, Dennis / Weitzel, Tim / Weinhardt, Christof / Rabhi, Fethi A. / Rajola, Federico
Volume: 4
Publisher: Springer
Pages: 1 - 14
back