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VWAP Can Be Misleading

Traders Magazine Online News, October 3, 2016

Gabriel Kan  & Tom Kingsley

VWAP, while still a commonly used benchmark, has multiple well-studied shortcomings. When VWAP fails to identify outliers, performance evalution will be effected. Fortunately, Arrival price, PWP and TCA may serve as noteworthy substitutes for a variety of reasons.

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