VWAP trading market system and VWAP trading strategy

摘要

PROBLEM TO BE SOLVED: To provide a new VWAP-based transaction method that solves problems with conventional closing-price VWAP methods.;SOLUTION: A VWAP transaction market system includes; an order information database for storing data on orders by transaction participants; an interface which receives market information describing the brands, the contracted prices and the numbers of financial products contracted at an auction transaction market; a price information management unit which calculates the volume weighted average prices (VWAP) of the brands in the market information received and which determines whether a first or a second price relationship such that the VWAPs calculated this time are smaller or larger than the contracted prices in the market information received this time and that the VWAPs calculated last time are larger or smaller than the contracted prices in the market information received last time will be met; and an order information management unit which executes the process of contracting the order data designating the brands meeting the first or the second price relationship and which sets the transaction prices of the order data contracted as being the same prices as the contracted prices in the market information received this time.;COPYRIGHT: (C)2011,JPO&INPIT