TWAP

嗨，从没放弃的小努力你好：

这句话要结合上文一起看。Portfolio managers may choose TWAP when they wish to exclude potential trade outliers. Trade outliers may be caused by trading a large buy order at the day’s low or a large sell order at the day’s high. If market participants are not able to fully participate in these trades, then TWAP may be a more appropriate choice. 

outlier是那些处于极端的订单，比如在当日的低点大量买进，或者在当日的高点大量卖出。如果市场参与者没有办法参与到这些极端的订单中，TWAP将是一个合适的选择。这正是由于TWAP可以剔除outlier，所以在这种情况下，TWAP更为合适。

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