NuclearPhynance Archive

Hi,



In one of the recent job post looking for a quantitative strategist (Algorithmic Trading) for an

investment bank, the requirements refer to code implementation of various trading strategies

such as VWAP, TWAP, IS, Price-In-Line, Float, etc.

Any light on what these are ? articles ? references ?



Thank you in advance

Google!

thanks, a very good answer  !!!!!

can somebody give better solution?

Hammertime   [url=/Search/default.aspx?ForumIDKey=2]D'Oh![/url]

Google again?  Start with VWAP, learn how to calculate it in a spreadsheet.  Now I give an order to buy 1,000,000 shares of GE to my broker saying I want the VWAP price.  Their trader bought it all on the open, taking a little risk on the broker's account for the difference between open and VWAP.  Get the data from Yahoo! for January 9, 2008 and come back with both the VWAP price and the open prices, and tell us if the broker made money on the deal or not.  Neglect transaction costs, etc.



If you can't get any intraday data, then change the problem to, say, 100,000,000 stocks done over the month of December 2007, at vwap over the period vs the open price on the first day.  Use buckets of one day for the VWAP calcs.



Edit: this thread should be moved to either the trashcan or basics

Google really does work - of course if you are having trouble using it perhaps algo trading is not for you Evil Grin



Have some fun with these

WikiPedia

Instinet

Almgren