Research On VWAP Algorithm For Adaptive Transaction Volume Prediction

This paper overcomes the weaknesses of the static VWAP trading strategy that can only passively deal with transaction ratios of each range accordance with the pre-calculated,thus proposes an attenuation adaptive strategy to change the transaction ratio of each interval through an iterative algorithm.Firstly,the paper proposes a decay adaptive strategy based on the original signal,and use A-share empirical data to prove the effectiveness of the attenuation adaptive strategy.Then,summarized the latest market news of the trading day as forward signal and backward signal.For the prediction of the backward signal,we applied the ARIMA model in time series analysis.Based on the empirical data,the paper verified the prediction accuracy of the forward and backward signals compared with the original signal.The results show that the accuracy of the backward signal prediction is slightly higher than that of the forward signal,but they all have large standard deviations..Finally,the paper uses the forward signal and the backward signal to replace the original signal to form a complete attenuation adaptive strategy and use empirical data to verify whether the overall strategy has better performance than the traditional VWAP.In the empirical test,the paper divides transaction-type open-end funds of the same nature into two groups based on the size of the fund.Repeated experiments are performed in each group.The results show that the attenuation adaptive strategy outperforms the traditional VWAP strategy.It has good robustness at different scales.In addition,the paper divides the market conditions into three categories: rising,oscillating,and falling.Repeated experiments are performed to compare the performance of the adaptive strategy of attenuation and the traditional VWAP strategy under different market conditions.The results show that the attenuation adaptive strategy outperforms the traditional VWAP strategy in the shock market,but it is inferior to the traditional VWAP strategy in rising and falling prices.The paper analyzes the reasons for such a result,and defines the transaction envelope to check the merits of the adaptive trading curve so as to avoid extreme situations.