| Class | Description |
|---|---|
| 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.
|
| 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.
|
| 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.
|
| 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.
|
| 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.
|
| 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.
|
| ContinuousPowerImpact |
ContinuousPowerImpact contains the Temporary Impact Power Law Trading Trajectory generated by the Almgren
and Chriss (2003) Scheme under the Criterion of No-Drift.
|
| 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.
|
| 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.
|
| DiscreteLinearTradingEnhanced |
DiscreteLinearTradingEnhanced contains the Volatility Trading Trajectory generated by the Almgren (2003)
Scheme under the Criterion of No-Drift AND Linear Temporary Impact Volatility.
|
| StaticOptimalScheme |
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.
|
| 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.
|
| 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.
|