Goldman Tweaks its VWAP Recipe
TRADING TECHNOLOGY
Everyone has their secret formula, but Goldman is fine-tuning its VWAP algorithms to adjust to market conditions in real time.
The volume weighted average price, or VWAP for short, is popular as a benchmark on both the sell side and the buy side. It is easy to understand, straightforward and provides a good reference price for an order’s average execution price, especially when a fund manager wants to move in or out of a portfolio and doesn’t have a view on the market or a particular sector or
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