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High-frequency modeling for VWAP based trading strategies a….Image.Marked
High-frequency modeling for VWAP based
trading strategies: a Generalized Autoregressive
Score approach
Francesco Calvori, Fabrizio Cipollini , Giampiero M. Gallo
Abstract Market activity is proxied in the literature in a variety of ways (volatil-
ity, volumes, number of trades, etc.) as a way to address the latent variable nature
of the information flow. In this framework, the Volume Weighted Average Price
(VWAP) is a benchmark measure based on volumes and prices at intra-daily inter-
vals frequently used to evaluate a trader’s performance. Under suitable assumptions,
splitting a daily order according to ex ante volume predictions is a good strategy to
replicate the VWAP. We propose a novel Generalized Autoregressive Score (GAS)
based model for predicting volume shares (by intra-daily interval relative to the daily
total), inspired by the empirical regularities (intra-daily periodicity patterns, residual
serial dependence) of the observed series. Such an approach bypasses the need for
modeling volumes directly which may be affected by local trends. An application to
6 stock tickers from the NYSE illustrates the effectiveness of the proposed model.
1 Introduction
Managing transaction costs of asset trading represents a central concern in imple-
menting investment decisions, especially for institutional investors. Such costs in-
clude all expenses related to buying or selling a security and consist of several com-
ponents with different degrees of transparency and manageability (cf. Kissel and
Glantz (2003, ch. 1) for a comprehensive discussion). One of the most detrimen-
Francesco Calvori
`
DiSIA – Universita di Firenze, e-mail: calvori@disia.unifi.it
Fabrizio Cipollini
`
DiSIA – Universita di Firenze, e-mail: cipollini@disia.unifi.it
Giampiero M. Gallo
`
DiSIA – Universita di Firenze, e-mail: gallog@disia.unifi.it
The authors thank the MIUR PRIN MISURA Project, 201
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