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Crystal96 · 2020年03月14日

问一道题:NO.PZ2020020202000008 [ CFA III ]

问题如下图:

选项:

A.

B.

C.

解释:

VWAP不可以exclude outlier吗?为什么呢

1 个答案

吴昊_品职助教 · 2020年03月14日

只有TWAP才可以剔除outlier,因为其权重是equal-weighted。而VWAP的是以成交量为权重,如果在极端价格上成交量很多,那么这个极端值就无法剔除掉。

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