public class AdaptiveOptimalHJBTrajectory
extends java.lang.Object
AdaptiveOptimalHJBTrajectory simulates the Outstanding Holdings and the Trade Rate from the Sample
Realization of the HJB Based Adaptive Cost Strategy using the Market State Trajectory the follows the
Zero Mean Ornstein-Uhlenbeck Evolution Dynamics. The Initial Dynamics is derived from the "Mean Market
State" Initial Static Trajectory. The References are:
- Almgren, R. F., and N. Chriss (2000): Optimal Execution of Portfolio Transactions, Journal of Risk 3
(2) 5-39.
- Almgren, R. F. (2009): Optimal Trading in a Dynamic Market
https://www.math.nyu.edu/financial_mathematics/content/02_financial/2009-2.pdf.
- Almgren, R. F. (2012): Optimal Trading with Stochastic Liquidity and Volatility, SIAM Journal of
Financial Mathematics 3 (1) 163-181.
- Geman, H., D. B. Madan, and M. Yor (2001): Time Changes for Levy Processes, Mathematical Finance 11 (1)
79-96.
- Walia, N. (2006): Optimal Trading: Dynamic Stock Liquidation Strategies, Senior Thesis, Princeton
University.
- Author:
- Lakshmi Krishnamurthy