Uses of Class
org.drip.execution.nonadaptive.StaticOptimalScheme

Packages that use StaticOptimalScheme

Package	Description
org.drip.execution.nonadaptive

Uses of StaticOptimalScheme in org.drip.execution.nonadaptive

Subclasses of StaticOptimalScheme in org.drip.execution.nonadaptive

Modifier and Type	Class and Description
class	ContinuousAlmgrenChriss ContinuousAlmgrenChriss contains the Continuous Version of the Discrete Trading Trajectory generated by the Almgren and Chriss (2000) Scheme under the Criterion of No-Drift.
class	ContinuousConstantTradingEnhanced ContinuousConstantTradingEnhanced contains the Constant Volatility Trading Trajectory generated by the Almgren and Chriss (2003) Scheme under the Criterion of No-Drift AND Constant Temporary Impact Volatility.
class	ContinuousCoordinatedVariationDeterministic ContinuousCoordinatedVariationDeterministic uses the Coordinated Variation Version of the Linear Participation Rate Transaction Function as described in the "Trading Time" Model to construct an Optimal Trading Trajectory.
class	ContinuousCoordinatedVariationStochastic ContinuousCoordinatedVariationStochastic uses the Coordinated Variation Version of the Linear Participation Rate Transaction Function as described in the "Trading Time" Model to construct an Optimal Trading Trajectory in the T To Infinite Limit.
class	ContinuousHighUrgencyAsymptote ContinuousHighUrgencyAsymptote contains the High Urgency Asymptote of the Static Continuous Trading Trajectory generated by the Almgren and Chriss (2000) Scheme under the Criterion of No-Drift.
class	ContinuousLowUrgencyAsymptote ContinuousLowUrgencyAsymptote contains the Low Urgency Asymptote of the Static Continuous Trading Trajectory generated by the Almgren and Chriss (2000) Scheme under the Criterion of No-Drift.
class	ContinuousPowerImpact ContinuousPowerImpact contains the Temporary Impact Power Law Trading Trajectory generated by the Almgren and Chriss (2003) Scheme under the Criterion of No-Drift.
class	DiscreteAlmgrenChriss DiscreteAlmgrenChriss generates the Trade/Holdings List of Optimal Execution Schedule for the Equally Spaced Trading Intervals based on the No-Drift Linear Impact Evolution Walk Parameters specified.
class	DiscreteAlmgrenChrissDrift DiscreteAlmgrenChrissDrift generates the Trade/Holdings List of Optimal Execution Schedule for the Equally Spaced Trading Intervals based on the Linear Impact Evolution Walk Parameters with Drift specified.
class	DiscreteLinearTradingEnhanced DiscreteLinearTradingEnhanced contains the Volatility Trading Trajectory generated by the Almgren (2003) Scheme under the Criterion of No-Drift AND Linear Temporary Impact Volatility.
class	StaticOptimalSchemeContinuous StaticOptimalSchemeContinuous generates the Trade/Holdings List of Static Optimal Execution Schedule based on the Continuous Trade Trajectory Control, the Price Walk Parameters, and the Objective Utility Function.
class	StaticOptimalSchemeDiscrete StaticOptimalSchemeDiscrete generates the Trade/Holdings List of Static Optimal Execution Schedule based on the Discrete Trade Trajectory Control, the Price Walk Parameters, and the Objective Utility Function.