Before revision:  In addition, we show intraday TWAP benchmarking reduces market liquidity relative to just terminal trading targets alone.
After revision:  The intraday trajectories of TWAP trading targets cause predictable intraday patterns of price pressure, and randomness in VWAP target trajectories induces additional randomness in intraday price-pressure patterns. TWAP and VWAP trading both reduce market liquidity and increase price volatility relative to just terminal trading targets alone.