Comparisons of strategies on gold algorithmic trading

Chaoteng Jordan Chen; Xiaotao Liu; Kin Keung Lai

doi:10.1109/BIFE.2013.61

Comparisons of strategies on gold algorithmic trading

Chaoteng Jordan Chen, Xiaotao Liu, Kin Keung Lai

College of Business

Research output: Chapters, Conference Papers, Creative and Literary Works › RGC 32 - Refereed conference paper (with host publication) › peer-review

3 Citations (Scopus)

Abstract

In this paper, we use intraday COMEX gold futures to evaluate and compare the trading performance of volume weight average price (VWAP) strategy, time weighted average price (TWAP) strategy and implementation shortfall (IS) strategy. We find that they can track the market price very well only when price moves have no trend on the relevant day. And Market impact cost and timing risk cost of the three strategies are proved to be negative correlated. Moreover, we get the result that the timing risk cost of VWAP strategy is the highest and that of IS strategy is the lowest, while the situation of market impact cost is opposite.

Original language	English
Title of host publication	Proceedings - 2013 6th International Conference on Business Intelligence and Financial Engineering, BIFE 2013
Publisher	IEEE
Pages	286-290
ISBN (Print)	9781479947775
DOIs	https://doi.org/10.1109/BIFE.2013.61
Publication status	Published - 18 Nov 2014
Event	6th International Conference on Business Intelligence and Financial Engineering, BIFE 2013 - Hangzhou, Zhejiang, China Duration: 14 Nov 2013 → 16 Nov 2013

Conference

Conference	6th International Conference on Business Intelligence and Financial Engineering, BIFE 2013
Place	China
City	Hangzhou, Zhejiang
Period	14/11/13 → 16/11/13

Research Keywords

Gold futures
IS
TWAP
VWAP

Access Output

10.1109/BIFE.2013.61

Other Access Options

Check CityUHK Library

Permanent Link

Right click to copy link

Cite this

@inproceedings{a2d6a66e006c453ca96ae73056bd7214,

title = "Comparisons of strategies on gold algorithmic trading",

abstract = "In this paper, we use intraday COMEX gold futures to evaluate and compare the trading performance of volume weight average price (VWAP) strategy, time weighted average price (TWAP) strategy and implementation shortfall (IS) strategy. We find that they can track the market price very well only when price moves have no trend on the relevant day. And Market impact cost and timing risk cost of the three strategies are proved to be negative correlated. Moreover, we get the result that the timing risk cost of VWAP strategy is the highest and that of IS strategy is the lowest, while the situation of market impact cost is opposite.",

keywords = "Gold futures, IS, TWAP, VWAP",

author = "Chen, {Chaoteng Jordan} and Xiaotao Liu and Lai, {Kin Keung}",

year = "2014",

month = nov,

day = "18",

doi = "10.1109/BIFE.2013.61",

language = "English",

isbn = "9781479947775",

pages = "286--290",

booktitle = "Proceedings - 2013 6th International Conference on Business Intelligence and Financial Engineering, BIFE 2013",

publisher = "IEEE",

address = "United States",

note = "6th International Conference on Business Intelligence and Financial Engineering, BIFE 2013 ; Conference date: 14-11-2013 Through 16-11-2013",

}

Chen, CJ, Liu, X & Lai, KK 2014, Comparisons of strategies on gold algorithmic trading. in Proceedings - 2013 6th International Conference on Business Intelligence and Financial Engineering, BIFE 2013., 6961139, IEEE, pp. 286-290, 6th International Conference on Business Intelligence and Financial Engineering, BIFE 2013, Hangzhou, Zhejiang, China, 14/11/13. https://doi.org/10.1109/BIFE.2013.61

Comparisons of strategies on gold algorithmic trading. / Chen, Chaoteng Jordan; Liu, Xiaotao; Lai, Kin Keung.
Proceedings - 2013 6th International Conference on Business Intelligence and Financial Engineering, BIFE 2013. IEEE, 2014. p. 286-290 6961139.

Research output: Chapters, Conference Papers, Creative and Literary Works › RGC 32 - Refereed conference paper (with host publication) › peer-review

TY - GEN

T1 - Comparisons of strategies on gold algorithmic trading

AU - Chen, Chaoteng Jordan

AU - Liu, Xiaotao

AU - Lai, Kin Keung

PY - 2014/11/18

Y1 - 2014/11/18

N2 - In this paper, we use intraday COMEX gold futures to evaluate and compare the trading performance of volume weight average price (VWAP) strategy, time weighted average price (TWAP) strategy and implementation shortfall (IS) strategy. We find that they can track the market price very well only when price moves have no trend on the relevant day. And Market impact cost and timing risk cost of the three strategies are proved to be negative correlated. Moreover, we get the result that the timing risk cost of VWAP strategy is the highest and that of IS strategy is the lowest, while the situation of market impact cost is opposite.

AB - In this paper, we use intraday COMEX gold futures to evaluate and compare the trading performance of volume weight average price (VWAP) strategy, time weighted average price (TWAP) strategy and implementation shortfall (IS) strategy. We find that they can track the market price very well only when price moves have no trend on the relevant day. And Market impact cost and timing risk cost of the three strategies are proved to be negative correlated. Moreover, we get the result that the timing risk cost of VWAP strategy is the highest and that of IS strategy is the lowest, while the situation of market impact cost is opposite.

KW - Gold futures

KW - IS

KW - TWAP

KW - VWAP

UR - http://www.scopus.com/inward/record.url?scp=84917672345&partnerID=8YFLogxK

UR - https://www.scopus.com/record/pubmetrics.uri?eid=2-s2.0-84917672345&origin=recordpage

U2 - 10.1109/BIFE.2013.61

DO - 10.1109/BIFE.2013.61

M3 - RGC 32 - Refereed conference paper (with host publication)

SN - 9781479947775

SP - 286

EP - 290

BT - Proceedings - 2013 6th International Conference on Business Intelligence and Financial Engineering, BIFE 2013

PB - IEEE

T2 - 6th International Conference on Business Intelligence and Financial Engineering, BIFE 2013

Y2 - 14 November 2013 through 16 November 2013

ER -

Comparisons of strategies on gold algorithmic trading

Abstract

Conference

Research Keywords

Access Output

Other Access Options

Permanent Link

Other Files and Links

Fingerprint

Cite this