twap

问题如下：

Beatrice Minchow designs and implements algorithmic trading strategies for Enlightenment Era Partners LLC (EEP). Minchow is working with Portfolio Manager James Bean on an algorithm to implement a sell order for Bean’s small position in the lightly-traded shares of public company Dynopax Inc. In a conversation with Minchow, Bean states the following:

 I have no expectations of adverse price movements during the trade horizon and would like to use a scheduled algorithm.

 I want to minimize market impact, but I’m more concerned about getting the sell order completely executed in one day.

Based on Bean’s comments, Minchow considers three algorithms: POV, VWAP, and TWAP. Determine which algorithm Minchow is likely to use for the Dynopax sell order. Justify your response.

解释：

Regarding Bean’s alternatives, VWAP and TWAP algorithms release orders to the market following a time-specified schedule, trading a predetermined number of shares within the specified time interval (e.g., one day). Following a fixed schedule as VWAP algorithms do, however, may not be optimal for certain stocks because such algorithms may not complete the order in cases where volumes are low. Furthermore, while POV algorithms incorporate real-time volume by following (or chasing) volumes, they may not complete the order within the time period specified.

TWAP algorithms, which send the same number of shares and the same percentage of the order to be traded in each time period, will help ensure the specified number of shares are executed within the specified time period. Given Bean’s stated priority of complete execution in one day, he is likely to use a TWAP algorithm for the Dynopax sell order.