关键词: 算法交易, VWAP卖出策略, 交易量分布预测, 动态调整

Abstract: The traditional VWAP trading strategy trading volume depends on the distribution of split single transaction, and the forecast of the distribution of trading volumes is based on the interval volume proportion of the total volume, and this prediction method does not consider the stock price changes. Therefore, by means of the time series factor decomposition the paper first predicts the distribution of trading volumes, then based on the stock price changes in the distribution of trading volumes adjust the trading volume distribution of dynamic ranges and builds the stocks selling strategy by the trading volume distribution, and finally, through an empirical test in this paper, tests the predictive validity and effectiveness of the distribution of trading volumes. Numerical results show that the prediction method of the distribution of dynamic volumes given in this paper is better than the traditional VWAP method and the results of the new method are much closer to the distribution of the actual transaction volume. And compared with the traditional VWAP trading strategy, the strategy given in this paper is more gainful.

Key words: algorithmic trading, VWAP selling strategy, trading volume distribution prediction, dynamic adjustment