英文标题：
《Optimality of VWAP Execution Strategies under General Shaped Market
Impact Functions》
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作者：
Takashi Kato
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最新提交年份：
2016
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英文摘要：
In this short note, we study an optimization problem of expected implementation shortfall (IS) cost under general shaped market impact functions. In particular, we find that an optimal strategy is a VWAP (volume weighted average price) execution strategy when the market model is a Black-Scholes type with stochastic clock and market trading volume is large.
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中文摘要：
在这篇短文中，我们研究了在一般形状的市场影响函数下，预期执行短缺（IS）成本的优化问题。特别地，我们发现，当市场模型是具有随机时钟的Black-Scholes型且市场交易量较大时，最优策略是一个VWAP（volume weighted average price）执行策略。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Trading and Market Microstructure 交易与市场微观结构
分类描述：Market microstructure, liquidity, exchange and auction design, automated trading, agent-based modeling and market-making
市场微观结构，流动性，交易和拍卖设计，自动化交易，基于代理的建模和做市
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