| Class | Description |
|---|---|
| CalibrationEmpirics |
CalibrationEmpirics contains the Universal Market Impact Exponent/Coefficients that have been determined
empirically by Almgren, Thum, Hauptmann, and Li (2005), using the Parameterization of Almgren (2003).
|
| DynamicsParameters |
DynamicsParameters generates the Variants of the Market Dynamics Parameters constructed using the
Methodologies presented in Almgren, Thum, Hauptmann, and Li (2005), using the Parameterization of Almgren
(2003).
|
| IJK |
IJK holds the Empirical Signals that have been emitted off of a Transaction Run using the Scheme by
Almgren, Thum, Hauptmann, and Li (2005), using the Parameterization of Almgren (2003).
|
| PermanentImpactNoArbitrage |
PermanentImpactNoArbitrage implements the Linear Permanent Market Impact with Coefficients that have been
determined empirically by Almgren, Thum, Hauptmann, and Li (2005), using the no Quasi-Arbitrage Criterion
identified by Huberman and Stanzl (2004).
|
| PermanentImpactQuasiArbitrage |
PermanentImpactQuasiArbitrage implements the Linear Permanent Market Impact with Coefficients that have
been determined empirically by Almgren, Thum, Hauptmann, and Li (2005), independent of the no
Quasi-Arbitrage Criterion identified by Huberman and Stanzl (2004).
|
| TemporaryImpact |
TemporaryImpact implements the Temporary Market Impact with Exponent/Coefficients that have been
determined empirically by Almgren, Thum, Hauptmann, and Li (2005), using the Parameterization of Almgren
(2003).
|
| TransactionRealization |
TransactionRealization holds the Suite of Empirical Drift/Wander Signals that have been emitted off of a
Transaction Run using the Scheme by Almgren, Thum, Hauptmann, and Li (2005), using the Parameterization
of Almgren (2003).
|
| TransactionSignal |
TransactionSignal holds the Realized Empirical Signals that have been emitted off of a Transaction Run,
decomposed using the Scheme by Almgren, Thum, Hauptmann, and Li (2005), based off of the Parameterization
of Almgren (2003).
|