A Front-Running Smile?
Traders Magazine, May 2005
One morning, prior to the open of the equity markets, a trader received an order from his portfolio manager to buy 150,000 shares of a mid-cap stock. The trader was benchmarked to the volume weighted average price, so he was looking to match the VWAP on that day. This buyside professional chose to use the VWAP algorithm his largest broker had just given him, rather than show his hand and pass along the order to another broker.
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