VWAP is the Volume Weighted Average Price of traded stock over a defined period. It is a metric of trade execution quality used by institutional traders to minimize the execution cost of large trades. A riskless VWAP trading strategy is not possible without knowledge of final market volume. We...

True spreads are not directly observable and represent the continuous demand and supply schedule for stock liquidity by heterogeneously informed market participants on limit order markets. Observed spreads are true spreads quantized by minimum market tick size. A maximum likelihood regression...