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Non-Tech : Ashton Technology (ASTN)
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To: Rob W who wrote (3669)3/25/2001 12:14:42 AM
From: LPS5  Read Replies (2) of 4443
 
I was wondering if another point could be made on behalf of eVWAP...Anything to this in terms of eVWAP pricing maybe being superior to obtaining a vwap via time slicing?

Time slicing is a way of approximating the VWAP. It is not meant to be superior; it is meant to be easier on the trading desk, and while universally applicable finds particular utility where a stock is exceptionally illiquid and/or time is not of the essence.

If a portfolio manager asked for a trade to be done with VWAP as the execution benchmark, the manager wouldn't time slice it. It depends what the buyside manager asks for.

The fact - not assertion, but fact - remains: however a VWAP price is arrived at, if the client requests it, is worthwhile. But a passive trading strategy will appeal to some, but not all, buyside managers.

Sellsiders are, by definition traders. Not "VWAPers."

LPS5
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