In today’s complex and low-latency electronic futures trading marketplace, achieving optimal execution performance with a Volume-Weighted-Averaged-Price (VWAP) trading strategy has never been more challenging. To reduce explicit and implicit costs for buy-side clients, brokers’ trading algorithms must be sophisticated enough to take into account multiple factors in their trading models. Among all those factors, a few carry the most weight: volume profile predictability, spread, liquidity (market impact) and volatility (pricing risk). Over the next three weeks we will explore how these four factors affect the performance of a VWAP strategy in the futures markets.
Uncategorized
Factors Affecting VWAP in Futures: Volume Profile Predictability (Part 1 of 3)
Related articles
-
Project Lithium will test if U.S. infrastructure can support a Fed-issued central bank digital currency.
-
Barclays was the collapsed payments firm’s sole banker in the UK.
-
Anchorage Digital Bank will custody digital assets transacted through PEATS.
