基于瞬时交易量及收益率动态调整的交易量加权平均价格策略

在总结交易量加权平均价格（VWAP）算法特点的基础上，提出了一种新的VWAP-VAP算法策略.日内交易份额被分解为市场份额和特殊份额两部分，而特殊份额通过日内实时交易量及收益率变动使用VAR模型进行动态调整.实证结果表明，该VWAP_VAR策略的表现明显优于经典VWAP策略和VWAP_ARMA策略，减小了对于市场VWAP的跟踪误差，降低了VWAP指令的执行风险.

The Volume Weighted Average Price Strategy Based on Instantaneous Volume and Return Adjusted Dynamically

After summarizing the feature about volume weighted average price(VWAP) algorithm, this article proposed a new VWAP strategy. The intraday volume share is decomposed into market part and specific part. The dynamics of specific part is described by volume-return vector autoregression(VAR) model. The result of empirical study shows that the VWAP-VAR strategy presented in this article can reduce the track error and execution risk in VWAP order, and its performance is better than that of the classical VWAP strategy and VWAP-ARMA strategy.