Volume-weighted average prices (VWAP) Calculations
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Consider the trade information in the table:
Time Trade Price Trade Volume
11:18 23.23 15000
11:19 23.25 1000
11:23 23.25 5000
11:25 23.27 2000
11:28 23.29 5000
11:30 23.31 5000
11:32 23.3 3000
11:34 23.28 2500
11:36 23.29 1000
11:37 23.3 2500
11:38 23.31 4500
11:41 23.33 7500
11:44 23.44 25000
11:45 23.43 4500
11:47 23.42 5000
11:48 23.43 7500
11:50 23.41 10000
Suppose a trader bought 50,000 shares of this stock at the times shown in bold. Calculate the VWAP for these trades over this time interval and determine whether or not there is any evidence of trading skill in these numbers.
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This solution helps with average price calculations.
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