public class ContinuousTrajectoryLinearImpact
extends java.lang.Object
ContinuousTrajectoryLinearImpact reconciles the Characteristic Times of the Optimal Continuous Trading
Trajectory resulting from the Application of the Almgren (2003) Scheme to a Linear Power Law Temporary
Market Impact Function. The Power Exponent Considered here is k=1.0. The References are:
- Almgren, R., and N. Chriss (1999): Value under Liquidation, Risk 12 (12).
- Almgren, R., and N. Chriss (2000): Optimal Execution of Portfolio Transactions, Journal of Risk 3 (2)
5-39.
- Almgren, R. (2003): Optimal Execution with Nonlinear Impact Functions and Trading-Enhanced Risk,
Applied Mathematical Finance 10 (1) 1-18.
- Almgren, R., and N. Chriss (2003): Bidding Principles, Risk 97-102.
- Bertsimas, D., and A. W. Lo (1998): Optimal Control of Execution Costs, Journal of Financial Markets,
1, 1-50.
- Author:
- Lakshmi Krishnamurthy