Formula
VWAP is calculated using the following formula:
where:
- = Volume Weighted Average Price
- = price of trade j
- = quantity of trade j
- = each individual trade that takes place over the defined period of time, excluding cross trades and basket cross trades.
Read more about this topic: Volume-weighted Average Price
Famous quotes containing the word formula:
“Ideals possess the strange quality that if they were completely realized they would turn into nonsense. One could easily follow a commandment such as “Thou shalt not kill” to the point of dying of starvation; and I might establish the formula that for the proper functioning of the mesh of our ideals, as in the case of a strainer, the holes are just as important as the mesh.”
—Robert Musil (1880–1942)
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—Lafcadio Hearn (1850–1904)
“My formula for greatness in human beings is amor fati: that one wants to change nothing, neither forwards, nor backwards, nor in all eternity. Not merely to endure necessity, still less to hide it—all idealism is mendacity in the face of necessity—but rather to love it.”
—Friedrich Nietzsche (1844–1900)