| Class | Description |
|---|---|
| Almgren2003Estimator |
Almgren2003Estimator generates the Gross Profit Distribution and the Information Ratio for a given Level
of Principal Discount for an Optimal Trajectory that is generated using the Almgren (2003) Scheme.
|
| GrossProfitEstimator |
GrossProfitEstimator generates the Gross Profit Distribution and the Information Ratio for a given Level
of Principal Discount.
|
| GrossProfitExpectation |
GrossProfitExpectation implements the R^1 To R^1 Univariate that computes the Explicit Profit of a
Principal Execution given the Optimal Trajectory.
|
| HorizonInformationRatioDependence |
HorizonInformationRatioDependence holds the Dependence Constants/Exponents for the Optimal Information
Ratio and the corresponding Horizon.
|
| OptimalMeasureDependence |
OptimalMeasureDependence contains the Dependence Exponents on Liquidity, Trade Size, and Permanent Impact
Adjusted Principal Discount for the Optimal Principal Horizon and the Optional Information Ratio.
|