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Primary Article

VWAP and Volume Profiles

Dana D. Hobson
The Journal of Trading Spring 2006, 1 (2) 38-42; DOI: https://doi.org/10.3905/jot.2006.628193
Dana D. Hobson
A Senior Vice President of Quantitative research, Bailard, Inc. in Foster City, CA.
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  • For correspondence: dhobson@bailard.com
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Abstract

Volume profiles are a primary component of VWAP execution strategies. A study of simulated VWAP execution performance using intraday tick data indicates that innovations beyond a simple smile profile yields almost no benefit. Factors beyond the provider's control, such as stock characteristics like liquidity and volatility, have a much greater impact. These results indicate that other aspects of VWAP algorithms, such as the tactics on individual trades intraday, are more likely to yield significant benefits than refinements on the volume profile.

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The Journal of Trading
Vol. 1, Issue 2
Spring 2006
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VWAP and Volume Profiles
Dana D. Hobson
The Journal of Trading Mar 2006, 1 (2) 38-42; DOI: 10.3905/jot.2006.628193

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VWAP and Volume Profiles
Dana D. Hobson
The Journal of Trading Mar 2006, 1 (2) 38-42; DOI: 10.3905/jot.2006.628193
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