Uses of Package
org.drip.execution.nonadaptive

Packages that use org.drip.execution.nonadaptive

Package	Description
org.drip.execution.nonadaptive

Classes in org.drip.execution.nonadaptive used by org.drip.execution.nonadaptive

Class and 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.