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AlphaTrade
AlphaTrade
  • Introduction
  • Future Research Topics
  • Architecture of the package
  • Gym_exchange
  • Gymnax_exchange
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vwap strategies#

  • VWAP Strategies, 2002

  • Optimal slice of a VWAP trade,2002

  • Competitive Algorithms for VWAP, 2004

  • Improving VWAP strategies: A dynamic volume approach, 2007

  • VWAP Execution and Guaranteed VWAP, 2014

  • Optimal Execution of a VWAP Order: A Stochastic Control Approach, 2015

  • Volume Weighted Average Price Optimal Execution, 2015

  • A Closed-Form Execution Strategy to Target VWAP, 2016

  • Volume-weighted average price tracking: A theoretical and empirical study, 2020

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