This question requires you to use the corresponding Excel spreadsheet, Wk10Q2.xlsx from LMS. Your goal is to buy 20,000 shares of an ASX-listed company XYZ using the information provided in the spreadsheet. The tables are also included on page 2.Suppose you want to use the following algos,

a 3-hour uniform TWAP;

a 5-hour randomised TWAP;

a VWAP that is based on the provided historical volume profile; and

a POV with 20% participation rate.

Fill in the volume information in the corresponding cells. Please note that, 10:00 represents a 15-minute window from 10:00:00 to 10:14:59.

This is an extension to the POV algo given in part a. Based on a breakdown of the market trades from 14:00 to 14:30, what should be the size of your trades in those three orange boxes?

Based on your inputs in part a, calculate the following, 1) market VWAP; and 2) your VWAPs from the four algos. Assume prices are the same for all transactions within each 15-minute window.

Do you expect to see your VWAP form the VWAP algo and your VWAP from POV algo more similar than, say comparing to the VWAP from 3-hour uniform TWAP algo? Explain.

P	art a			3-Hr Uniform	5-Hr Randomi sed	VWAP Based on	POV with 20%
				TWAP	TWAP	Historical	Rate
							Required
	Actual	Historical	Actual	Trade	Trade	Trade	Target
Time	Price	Volume	Volume	Volume	Volume	Volume	Volume
10:00	5.25	9,360	9,327
10:15	5.26	9,216	9,312
10:30	5.28	9,720	9,733
10:45	5.32	9,080	9,124
11:00	5.23	5,790	5,850
11:15	5.23	4,550	4,450
11:30	5.26	3,830	3,800
11:45	5.25	3,456	3,518
12:00	5.18	2,304	2,336
12:15	5.18	1,440	1,484
12:30	5.31	1,584	1,604
12:45	5.25	1,296	1,361
13:00	5.23	1,008	1,027
13:15	5.28	1,440	1,493
13:30	5.29	1,728	1,689
13:45	5.21	1,440	1,470
14:00	5.27	1,872	1,800
14:15	5.22	1,152	1,200
14:30	5.28	1,728	1,750
14:45	5.24	1,728	1,698
15:00	5.26	2,304	2,328
15:15	5.30	5,400	5,453
15:30	5.25	7,920	7,952
15:45	5.26	11,600	11,632
16:00	5.26	-	-

Time 14:01:25	Size Volume 200	Position	Behind
14:05:32	150
14:07:09	300
14:09:53
14:11:17	400
14:13:08	400
14:14:56
14:15:06	155
14:16:11	200
14:19:37	190
14:22:42	180
14:25:01	120
14:26:28	115
14:29:52