Interval Quotes - VWA Bid and VWA Offer

riskneutralprob · February 13th, 2008, 6:37 pm

I am looking that generating interval tick (trade and quote) records to pass to strategies.I know VWAP is very popular to represent a trade execution over an interval.But what about the quotes? Is it ok to simply look at the Volume Weighted Average Bidor the Volume Weighted Average Offer? Is this introducing any biases?Thoughts?

Eshan · February 17th, 2008, 6:35 am

Refer to The Econometrics of Financial Market by John Y. Cambell. Chapter -3 Market Microstructure. You may read the author has modelled these spread biases. Though where the securities are heavily traded, you Might ignore them and take the VWAP or LTP as it is in the quote. Depends on kind of work you are into and what asset classes also.