| Class | Description |
|---|---|
| ArithmeticPriceDynamicsSettings |
ArithmeticPriceDynamicsSettings contains the Arithmetic Price Evolution Dynamics Parameters used in the
Almgren and Chriss (2000) Optimal Trajectory Generation Scheme.
|
| AssetFlowSettings |
AssetFlowSettings contains the Asset's Market Flow Parameters that are determined empirically from
Almgren, Thum, Hauptmann, and Li (2005), using the Parameterization of Almgren (2003).
|
| AssetTransactionSettings |
ArithmeticLinearMarketImpact contains the Arithmetic Linear Market Impact Inputs used in the Construction
of the Impact Parameters for the Almgren and Chriss (2000) Optimal Trajectory Generation Scheme.
|
| PriceMarketImpact |
PriceMarketImpact contains the Price Market Impact Inputs used in the Construction of the Impact
Parameters for the Almgren and Chriss (2000) Optimal Trajectory Generation Scheme.
|
| PriceMarketImpactLinear |
PriceMarketImpactLinear contains the Linear Price Market Impact Inputs used in the Construction of the
Impact Parameters for the Almgren and Chriss (2000) Optimal Trajectory Generation Scheme.
|
| PriceMarketImpactPower |
PriceMarketImpactPower contains the Power Law based Price Market Impact Inputs used in the Construction of
the Impact Parameters for the Almgren and Chriss (2000) Optimal Trajectory Generation Scheme.
|