Improved Volume Prediction Algorithm Of Vwap Dynamic Trading Strategies Model Design And Empirical Research

Algorithmic trading which is a new technical means, along with the rapid development of computer technology is growing day by day. Now, for the exploration, all kinds of algorithms, the use of research and development is attracting more and more financial sector professionals. The key of VAWP strategy is through according to the distribution of trading volume, the stock trading larger orders split into smaller orders, which can reduce the impact on the market and reduce the execution cost. its precision directly on strategy execution effects play a decisive role. So it also determines the distribution of the accurate prediction of day trading volume is the improvement of VWAP algorithm in the crucial.However, In the previous literatures in the past, most is to use a simple historical average method to forecast the volume of transactions. The existing VWAP algorithm in the market most of the static method, and the sample data of the study is also dominated by low frequency data, With the development of information technology, it is not hard to obtain high frequency data, researchers pay more and more attention to how to use high frequency data more accurately using the VWAP algorithm.This paper is based on the history of the VWAP method to optimize and improve, history of VWAP strategy as the research target, and dynamic adjustment of the history of the VWAP method using instant transaction volume of information available on the market, The tracking error between the transaction VWAP strategy in quantity and in the actual market volume as a measure of the quality standards, empirical research on the stock market by using high frequency data can be obtained, with a certain degree of reference value.