ERA

Download the full-sized PDF of Trading Large VWAP Orders in Discrete TimeDownload the full-sized PDF

Analytics

Share

Permanent link (DOI): https://doi.org/10.7939/R30C4SS4X

Download

Export to: EndNote  |  Zotero  |  Mendeley

Communities

This file is in the following communities:

Graduate Studies and Research, Faculty of

Collections

This file is in the following collections:

Theses and Dissertations

Trading Large VWAP Orders in Discrete Time Open Access

Descriptions

Other title
Subject/Keyword
algorithmic trading, VWAP, discrete time, dynamic programming
Type of item
Thesis
Degree grantor
University of Alberta
Author or creator
Zeng, Linghang
Supervisor and department
Frei, Christoph (Mathematical and Statistical Sciences)
Examining committee member and department
Kouritzin, Mike (Mathematical and Statistical Sciences)
Melnikov, Alexander (Mathematical and Statistical Sciences)
Choulli, Tahir (Mathematical and Statistical Sciences)
Department
Department of Mathematical and Statistical Sciences
Specialization
Mathematical Finance
Date accepted
2013-08-02T16:12:09Z
Graduation date
2013-11
Degree
Master of Science
Degree level
Master's
Abstract
This thesis focuses on characterizing an optimal trading strategy for a large trader, who has to buy (or sell) a fixed large volume over a given time period. We propose a model in discrete time, based on VWAP (Volume Weighted Average Price). The objective is to minimize expected deviations between the trader's relative volumes and the market relative volumes at all times. By applying dynamic programming, we characterize the optimal strategy under three different assumptions on the intraday market volumes: i.i.d.~volumes, general independent volumes and independent Gamma distributed volumes. The optimal strategy under the last assumption is meaningful and explicit. For three exemplary Chinese stocks, we present its good data fit and illustrate the improved performance (reduced deviations to the market relative volumes) compared with the empirical strategy, which is one of the most popular and efficient VWAP strategies in the financial industry.
Language
English
DOI
doi:10.7939/R30C4SS4X
Rights
Permission is hereby granted to the University of Alberta Libraries to reproduce single copies of this thesis and to lend or sell such copies for private, scholarly or scientific research purposes only. Where the thesis is converted to, or otherwise made available in digital form, the University of Alberta will advise potential users of the thesis of these terms. The author reserves all other publication and other rights in association with the copyright in the thesis and, except as herein before provided, neither the thesis nor any substantial portion thereof may be printed or otherwise reproduced in any material form whatsoever without the author's prior written permission.
Citation for previous publication

File Details

Date Uploaded
Date Modified
2014-05-01T02:35:34.700+00:00
Audit Status
Audits have not yet been run on this file.
Characterization
File format: pdf (Portable Document Format)
Mime type: application/pdf
File size: 464611
Last modified: 2015:10:12 20:37:54-06:00
Filename: Zeng_Linghang_Fall 2013.pdf
Original checksum: 673386baed6efbe7c3b9511268191819
Well formed: true
Valid: true
File title: Introduction
Page count: 77
Activity of users you follow
User Activity Date