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Questions tagged [vwap]

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52 views

Understanding VWAP and DMA in EMSX Bloomberg

I'm trying to better understand the difference between the VWAP and DMA Strategies in Bloomberg through the EMSX function. As far as I understand is putting orders in Direct market access(DMA) a way ...
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0answers
66 views

Fractional derivative returns on a VWAP series?

In Marcos Lopez De Prado's book, Advances in Financial Machine Learning, the author explains the method of fractional differentiation as an alternative to calculate returns. The method basically ...
2
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1answer
2k views

Do you know any data source for historical VWAP data?

I am looking for historical VWAP pricing data for north american equities. I haven't been able to find a free/cheap data source. Do you guys know of one ? Also, is there a way to proxy for an equities ...
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2answers
146 views

Explanation of VWAP

I have some questions on VWAP(volume weighted average price): 1) I understand that it gives the average trade price of an asset for a specific time period but why is it beneficial to know this when ...
1
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0answers
106 views

Investment Bank VWAP Execution ranking

Is there a ranking of Investment Banks institutional VWAP execution algorithms anywhere (who beats the benchmark price most consistently and by how much)? Thanks
3
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1answer
940 views

options pricing using vwap

This is a question about why options prices do not take volume into account. The popular option valuation formula "black-scholes" certainly does not account for this and I don't suggest that it does. ...
3
votes
2answers
1k views

What are the advantages/disadvantages of OHLC over VWAP?

I would like to ask about maybe obvious thing for many people, but cannot find a good answer for it. In many, many places I see OHLC data along with OHLC analysis tools. As I deduce step by step in ...