Empirical Analysis of the VWAP Trading Strategy in Shanghai Stock Market

Based on the VWAP trading strategy, we used the method of factor analysis and classification of stocks to improve the forecasting accuracy of intra-day stock turnover series. By empirical analysis of 39 stocks from Shangzheng 50 composite index, we demonstrate that the method can simulate the evolution of the common part of stock turnover series better than the traditional principal component analysis, and the accuracy of the forecast can be improved in a large degree.