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Brownie · 2022年03月13日

看例题解释，VWAP 和TWAP不是都能确保成交

  1. CFA III
  2. Trading&Performance

* 问题详情，请 查看题干

NO.PZ202110280100000501

问题如下：

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.

看讲义，只有TWAP明确了可以保证所有都能成交，VWAP没有提到这一个优点。

但李老师在视频的讲解当中，有提到这两种方式都能够确保所有交易成交。

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1 个答案

吴昊_品职助教 · 2022年03月14日

嗨，从没放弃的小努力你好：


VWAP是根据市场交易情况来成交，以期使得订单的交易量和大盘的交易量基本吻合。

比方我们预测出来接下来十分钟市场的交易量比较大，那订单就可以拆的大一点，而如果接下来市场的交易量较小，就将订单拆的小一点。极端一点的例子，假设接下来的时间段内，市场交易量为零，那我们也就无法交易了。相反，市场交易量为1，那我们也就能完全交易了。

所以和TWAP相比，VWAP依然存在无法交易完全的风险。这就是这道题选TWAP的原因。

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

李艳林 · 2022年05月22日

李老师确实讲错了。。。。讲的时候确实说vwap也是可以保证完成的。。。。

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