Flexible VWAP Executions in Electronic Trading

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.

• Type: Conference
• Year: 2007
• Where: FINANCECOM
• Authors: Peter Gomber, Marco Lutat, Adrian Wranik
• Keywords: Finance, FINANCECOM 2007, Large Equity Orders, VWAP Agency Order, Vwap Crossing