In the first of a two-part series on equity algorithms, Episode 57 of Bid Out focuses on why VWAP, a much maligned trading benchmark representing "average" execution performance, still remains popular with buy side traders.  Robert discusses proper benchmarking for VWAP strategies as well as the process for determining proper participation rates, while Jenny breaks down the importance of distilling traded volume down to the portion that represents tradeable activity to ensure that algo strategies are properly calibrated.  We finish part one focused on the growing importance of on close activity, the period the trading day with the most natural liquidity, and the need to incorporate on close strategies into scheduled based algo logic.

Part 2 will be release next Friday on February 2, 2024. 

Chapter Headings:

7:53 - Why does VWAP Remain so Popular?

13:44 - Comparing Broker VWAP Algos

17:08 - The Importance of Accurately Predicting Volume

23:45 - Incorporating On Close Strategies Into Scheduled Based Algos

Guests:

Jennifer Hadiaris, Global Head of Equity Market Structure, TD Cowen

Robert Miller, Head of Global Equity Execution Consulting, The Vanguard Group Inc.

Disclaimer:

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