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  • Monday, April 28, 2025
  • The Financial Encyclopedia
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VWAP Trading Algorithm

A trading algorithm on volume-weighted average price (VWAP). It is one of the most popular trading algorithms whereby a trader...

    VWAP

    It stands for volume-weighted average price. It is the ratio of the value of securities traded to the total volume...

      VWAP Benchmark

      A volume-weighted average price (VWAP) is a proxy for fair market value. It is given by: VWAP PnLbp = -1...

        VWAP Proxy

        A close substitute for volume-weighted average price (VWAP) that is usually used in markets where tick-level data are unpublished or...

          Volume-Weighted Average Price

          The ratio of the value of securities traded to the total volume traded over a given period of time (usually...

            Volume Participation Algorithm

            A trading algorithm that is used by electronic traders to target a specific order execution volume in line with the...

              Volatility Ratio

              A ratio that relates the implied volatility of a security to its recent historical volatility: Volatility ratio = implied volatility...

                Valium Picnic

                An idiomatic term for a market holiday- that is, where all market activity comes to a halt for a day...

                  Valium Holiday

                  An idiomatic term for a market holiday- that is, where all market activity comes to a halt for a day...