Group15Stream2FINC6015Assignment1S12013.pdf - FINC 6015...

FINC 6015 Assignment 1
------ Group 15, Stream 2: Monday 13:00-16:00
Zhongyue Kang 420137362
Jun Wang 420146777
Xinying Li 420137351

Stream 2 Group 15, SID: 420137362, 420146777, 420137351
（Ⅰ） Did you achieve VWAP?
2
（Ⅲ） Analysis and discussion on the different results
The results for the two trading sessions are not similar. The dissimilarity is mainly a
result of different trading strategies used in each session. Before the class, we calculated the
average percentage of trading volume for each interval using the provided data, which is a
five-day trading record for each company. Then we apply the portion to the 50000 shares that
we are going to trade, and get the standard trading amount for each interval. The results are
shown in the following table.
Intervals 1 2 3 4 5 6
BTA
5-day average% 12.53% 14.93% 19.27% 15.84% 16.41% 21.01%
Amount(50000) 6265 7465 9635 7920 8205 10510
Accumulated 6265 13730 23365 31285 39490 50000
MQG
5-day average% 26.26% 15.44% 11.10% 9.17% 13.32% 24.70%
Amount(50000) 13130 7720 5550 4585 6660 12355
Accumulated 13130 20850 26400 30985 37645 50000
In round 1, we were the seller of BTA shares. We planned to fully follow the
instruction, which is to divide the 30-minute trading session into six intervals, and trade the
pre-calculated amount each 5 minutes. The price kept rising until we finished our first three
trades. During the second half of the trading session, we found that the market price began to
fluctuate around $2.24, but we also noticed that the amount trading at a higher price is very
small. In order to clear our 50000 shares, we sold our remaining shares at the highest possible
price $2.24. However, we did not achieve the market VWAP in this round. Although we
traded more than half of our share at a price higher than the overall market VWAP ($2.2368),
（Ⅱ） Are your results for the 2 trading sessions similar?

Stream 2 Group 15, SID: 420137362, 420146777, 420137351
3
the unfavourable discrepancy resulted from the first three trades were too big to be fully
offset, and we finally arrive at a group VWAP of $2.2341.
In round 2, we were the buyer of MQG shares. From the experience of trading BTA
shares, we found that trading the calculated amount each 5 minutes was not flexible enough
to achieve market VWAP, as the market VWAP is continuously affected by new transactions.