This paper presents a continuous-time model of intraday trading, pricing, and liquidity with dynamic TWAP and VWAP benchmarks. The model is solved in closed-form for the competitive equilibrium and also for non-price-taking equilibria. The intraday trajectories of TWAP trading targets cause predictable intraday patterns of price pressure, and randomness in VWAP target trajectories induces additional randomness in intraday price-pressure patterns. TWAP and VWAP trading both reduce market liquidity and increase price volatility relative to just terminal trading targets alone. The model is computationally tractable, which lets us provide a number of numerical illustrations.

本文介绍了具有动态TWAP和VWAP基准的日内交易，定价和流动性的连续时间模型。该模型以封闭形式求解，用于竞争均衡和非价格获取均衡。TWAP交易目标的盘中轨迹导致可预测的盘中价格压力模式，而VWAP目标轨迹的随机性引起盘中价格压力模式的额外随机性。相对于仅终端交易目标，TWAP和VWAP交易都减少了市场流动性并增加了价格波动。该模型在计算上易于处理，因此我们可以提供许多数字插图。