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1、CompetitiveAlgorithmsforVWAPandLimitOrderTradingShamM.KakadeMichaelKearnsComputerandInformationScienceComputerandInformationScienceUniversityofPennsylvaniaUniversityofPennsylvaniakakade@linc.cis.upenn.edumkearns@cis.upenn.eduYishayMansourLuisE.OrtizCom
2、puterScienceComputerandInformationScienceTelAvivUniversityUniversityofPennsylvaniamansour@post.tau.ac.illeortiz@linc.cis.upenn.eduABSTRACTVWAP,trading.Informally,theVWAPofastockoveraspeci edmarketperiodissimplytheaveragepricepaidperWeintroducenewonline
3、modelsfortwoimportantaspectsshareduringthatperiod,sothepriceofeachtransactioninofmodern nancialmarkets:VolumeWeightedAveragePricethemarketisweightedbyitsvolume.InVWAPtrading,tradingandlimitorderbooks.Weprovideanextensiveoneattemptstobuyorsella xednumbe
4、rofsharesatastudyofcompetitivealgorithmsinthesemodelsandrelatepricethatcloselytrackstheVWAP.themtoearlieronlinealgorithmsforstocktrading.VerylargeinstitutionaltradesconstituteoneofthemainmotivationsbehindVWAPactivity.AtypicalscenariogoesCategoriesandSu
5、bjectDescriptorsasfollows.Supposeaverylargemutualfundholds3%ofF.2[AnalysisofAlgorithmsandProblemComplex-theoutstandingsharesofalarge,publiclytradedcompanyity]:Miscellaneous;J.4[SocialandBehavioralSciences]:
6、ahugefractionoftheshares
7、andthatthisfund'sman
8、-Economicsagerdecideshewouldliketoreducethisholdingto2%overa1-monthperiod.(SuchadecisionmightbeforcedbytheGeneralTermsfund'sownregulationsorotherconsiderations.)Typically,suchafundmanagerwouldbeunquali edtosellsuchalargeAlgorithms,Economicsnumberofshar
9、esintheopenmarket
10、itrequiresaprofes-sionalbrokertointelligentlybreakthetradeupovertime,Keywordsandpossiblyovermultipleexchanges,inordertominimizethemarketimpactofsuchasizabletransaction.Thus,theOnlineTrading,CompetitiveAnalysis,VWAPfundmanagerwouldappr
11、oachbrokeragesforhelpinsellingthe1%.Thebrokeragewilltypicallyalleviatethefundmanager's1.INTRODUCTIONproblemimmediatelybysimplybuyingthesharesdirectlyWhilepopularimagesofWallStreetoftendepictswash-fromthefundmanager,andthensellingthemo l
