| Package | Description |
|---|---|
| org.drip.execution.nonadaptive |
| Modifier and Type | Class and Description |
|---|---|
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.
|