Citigroup Piles Up the Benchmarks
TRADING TECHNOLOGY
Which benchmarks does Citigroup use to measure the market impact costs of program trading? Better ask which ones it doesn’t use.
By
Dianne See MorrisonThe Volume Weighted Average Price (VWAP) may be the most popular industry benchmark for gauging the execution quality of a trade, but that doesn’t mean it is a perfect measure. Indeed, critics often grouse that the VWAP is a meaningless number that is especially vulnerable to gaming. A mediocre trader, they say, can easily mimic the VWAP by making
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