| Package | Description |
|---|---|
| org.drip.execution.athl | |
| org.drip.execution.impact |
| Modifier and Type | Class and Description |
|---|---|
class |
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).
|
class |
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).
|
| Modifier and Type | Class and Description |
|---|---|
class |
ParticipationRatePower
ParticipationRatePower implements a Power-Law Based Temporary/Permanent Market Impact Function where the
Price Change scales as a Power of the Trade Rate.
|