Research And Empirics Of VWAP Algorithm Based On Gamma Distribution

This Thesis describe an optimal trading strategy to traders who need to buy(or sell)a big order of a certain amount,which is based on the Volume-weighted Average Price,VWAP model.By measuring the deviations in the relative turnover,we describe a series of optimal trading strategies,thus minimizing the trader's the expected deviations in the relative turnover and total market relative turnover.In the part of model analysis,we describe the optimal strategies of the intraday trading in such three distributions as independent and the same distribution,general independent distribution and independent gamma distribution,and under each distribution hypothesis,the c conditions of two cycles and n cycles are also considered.Then,by conducting data demonstration of these five stocks,it was proved that our optimal strategies can reduce the deviations of a trader's relative turnover and the total market relative turnover and are more effective than the experiential strategies and the TWAP strategy.