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This paper presents a continuous-time model of intraday trading, pricing, andliquidity with dynamic TWAP and VWAP benchmarks. The model is solved inclosed-form for the competitive equilibrium and also for non-price-takingequilibria. The intraday trajectories of TWAP trading targets cause predictableintraday patterns of price pressure, and randomness in VWAP target trajectoriesinduces additional randomness in intraday price-pressure patterns. TWAP andVWAP trading both reduce market liquidity and increase price volatilityrelative to just terminal trading targets alone. The model is computationallytractable, which lets us provide a number of numerical illustrations.

Equilibrium Effects of Intraday Order-Splitting Benchmarks