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Comparisons of Strategies on Gold Algorithmic Trading

机译:黄金算法交易策略的比较

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摘要

In this paper, we use intraday COMEX gold futures to evaluate and compare the trading performance of volume weight average price (VWAP) strategy, time weighted average price (TWAP) strategy and implementation shortfall (IS) strategy. We find that they can track the market price very well only when price moves have no trend on the relevant day. And Market impact cost and timing risk cost of the three strategies are proved to be negative correlated. Moreover, we get the result that the timing risk cost of VWAP strategy is the highest and that of IS strategy is the lowest, while the situation of market impact cost is opposite.
机译:在本文中,我们使用日内COMEX黄金期货来评估和比较交易量加权平均价格(VWAP)策略,时间加权平均价格(TWAP)策略和执行缺口(IS)策略的交易性能。我们发现,只有当相关日期的价格走势没有趋势时,他们才能很好地跟踪市场价格。并且证明了这三种策略的市场影响成本和时间风险成本是负相关的。此外,我们得出的结果是,VWAP策略的时间风险成本最高,IS策略的时间风险成本最低,而市场影响成本的情况则相反。

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