org.drip.execution.nonadaptive

Class StaticOptimalScheme

java.lang.Object

org.drip.execution.nonadaptive.StaticOptimalScheme

Direct Known Subclasses:

StaticOptimalSchemeContinuous, StaticOptimalSchemeDiscrete

public abstract class StaticOptimalScheme
extends java.lang.Object

StaticOptimalScheme generates the Trade/Holdings List of Static Optimal Execution Schedule based on the Discrete/Continuous Trade Trajectory Control, the Price Walk Parameters, and the Objective Utility Function. The References are: - Almgren, R., and N. Chriss (1999): Value under Liquidation, Risk 12 (12). - Almgren, R., and N. Chriss (2000): Optimal Execution of Portfolio Transactions, Journal of Risk 3 (2) 5-39. - Bertsimas, D., and A. W. Lo (1998): Optimal Control of Execution Costs, Journal of Financial Markets, 1, 1-50. - Chan, L. K. C., and J. Lakonishak (1995): The Behavior of Stock Prices around Institutional Trades, Journal of Finance, 50, 1147-1174. - Keim, D. B., and A. Madhavan (1997): Transaction Costs and Investment Style: An Inter-exchange Analysis of Institutional Equity Trades, Journal of Financial Economics, 46, 265-292.

Author:

Lakshmi Krishnamurthy

Method Summary

Modifier and Type	Method and Description
abstract EfficientTradingTrajectory	generate() Invoke the Optimizer, and generate/return the Optimal Trading Trajectory Instance
ObjectiveUtility	objectiveUtility() Retrieve the Optimizer Objective Utility Function
ArithmeticPriceEvolutionParameters	priceEvolutionParameters() Retrieve the Asset Arithmetic Price Evolution Parameters

Methods inherited from class java.lang.Object

equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Method Detail

objectiveUtility

public ObjectiveUtility objectiveUtility()

Retrieve the Optimizer Objective Utility Function

Returns:

The Optimizer Objective Utility Function

priceEvolutionParameters

public ArithmeticPriceEvolutionParameters priceEvolutionParameters()

Retrieve the Asset Arithmetic Price Evolution Parameters

Returns:

The Asset Arithmetic Price Evolution Parameters

generate

public abstract EfficientTradingTrajectory generate()

Invoke the Optimizer, and generate/return the Optimal Trading Trajectory Instance

Returns:

The Optimal Trading Trajectory Instance