Algorithmic Trading 演算法交易

Impact-Driven Algorithms:
再以降低市場衝擊為考量 Impact-Driven Algorithms 就是把一大單拆成許多小單分散送出. 包含以下各種方法:

TWAP(Time Weighted Average Price):
把一大單平均分為數等份,每固定時間間隔送出一份.
如100分鐘內要下50000股則可分為十份
每10分鐘下5000股


VWAP(Volume Weighted Average Price):
把一大單依歷史分時成交量比例,分為大小不等數份,每固定時間間隔送出一份.

POV(Percent of Volume):
把一大單依當日分時成交量的固定比例(如20%), 每固定時間間隔送出一份.


Minimum Impact:
經由ATS下單

教科書:

1. Algorithmic Trading and DMA: An introduction to ... - Amazon.com

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   Algorithmic Trading and DMA: An introduction to direct access trading strategies [Barry Johnson] on Amazon.com. *FREE* super saver shipping on qualifying ...
   
2. [PDF] 

   Barry Johnson - Algorithmic Trading & DMA.pdf

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   ... access trading strategies. By Barry Johnson .... Adoption of electronic and algorithmic trading. Su m m ary. Algorithmic trading and DMA strategies. Orders ...