@article {Hu30, author = {Gang Hu}, title = {VWAP Cost Excluding Own Trades}, volume = {2}, number = {1}, pages = {30--34}, year = {2006}, doi = {10.3905/jot.2007.669798}, publisher = {Institutional Investor Journals Umbrella}, abstract = {VWAP (Volume-Weighted Average Price) Cost is a widely used measure for execution quality. However, many have criticized the VWAP Cost measure. One of the most frequent criticisms is that VWAP Cost includes the trader or institutional investor{\textquoteright}s own trades in the benchmark price. This article clarifies related issues by deriving a simple mathematical relation between VWAP Cost including versus excluding own trades. This result enables computation of VWAP Cost excluding own trades without having to explicitly identify the trader{\textquoteright}s own trades in intraday market data. This is useful in practice because it is extremely difficult, if not impossible, to identify a particular trader{\textquoteright}s trades in intraday market data (e.g., the NYSE TAQ).TOPICS: Information providers/credit ratings,statistical methods}, issn = {1559-3967}, URL = {https://jot.pm-research.com/content/2/1/30}, eprint = {https://jot.pm-research.com/content/2/1/30.full.pdf}, journal = {The Journal of Trading (Retired)} }