CAJ | 학술논문

传统的VWAP交易策略通过预测区间交易量分布进行拆单交易，对于交易量区间分布的预测是基于区间成交量占总成交量比例进行的，这一预测方法没有考虑股票价格变动因素。因此，本文首先通过时间序列因素分解方法进行区间交易量分布预测，进而根据股票价格变化对区间交易量分布进行动态调整，并构建了基于动态区间交易量分布的股票卖出策略，最后通过实证检验了本文给出的动态区间交易量分布预测的有效性和交易策略的有效性。数值结果表明，本文所给动态区间交易量分布预测方法比传统VWAP方法预测结果更加接近于实际的交易量分布，且本文所给交易策略与传统VWAP交易策略相比，具有更大的收益。
전통적VWAP교역책략통과예측구간교역량분포진행탁단교역，대우교역량구간분포적예측시기우구간성교량점총성교량비례진행적，저일예측방법몰유고필고표개격변동인소。인차，본문수선통과시간서렬인소분해방법진행구간교역량분포예측，진이근거고표개격변화대구간교역량분포진행동태조정，병구건료기우동태구간교역량분포적고표매출책략，최후통과실증검험료본문급출적동태구간교역량분포예측적유효성화교역책략적유효성。수치결과표명，본문소급동태구간교역량분포예측방법비전통VWAP방법예측결과경가접근우실제적교역량분포，차본문소급교역책략여전통VWAP교역책략상비，구유경대적수익。
The traditional VWAP trading strategy trading volume depends on the distribution of split single trans -action, and the forecast of the distribution of trading volumes is based on the interval volume proportion of the total volume , and this prediction method does not consider the stock price changes .Therefore , by means of the time series factor decomposition the paper first predicts the distribution of trading volumes , then based on the stock price changes in the distribution of trading volumes adjust the trading volume distribution of dynamic ranges and builds the stocks selling strategy by the trading volume distribution , and finally , through an empirical test in this paper , tests the predictive validity and effectiveness of the distribution of trading volumes .Numerical results show that the prediction method of the distribution of dynamic volumes given in this paper is better than the tradi -tional VWAP method and the results of the new method are much closer to the distribution of the actual transac -tion volume .And compared with the traditional VWAP trading strategy , the strategy given in this paper is more gainful.