Optimizing strategies for VWAP based trading algorithms

Abstract

In this thesis I propose optimization strategies to an existing VWAP algorithm. The report provides information on the extent of literature review done to acquire the knowledge required to complete the identified research. The content included provides a detailed overview of the algorithmic trading domain in general and then attempts to provide an insight in to VWAP algorithms and some basic concepts used in algorithmic trading. As the main research work I describe in detail the optimizations proposed and provide test results to justify my claims. The results were obtained through the tests carried out using back testing techniques on actual market data obtained from New York stock exchange.