| Class | Description |
|---|---|
| AdaptiveOptimalCostTrajectory |
AdaptiveOptimalCostTrajectory traces a Sample Realization of the Adaptive Cost Strategy using the Market
State Trajectory the follows the Zero Mean Ornstein-Uhlenbeck Evolution Dynamics.
|
| AdaptiveOptimalHJBTrajectory |
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.
|
| AdaptiveOptimalRollingHorizonTrajectory |
AdaptiveOptimalRollingHorizonTrajectory simulates the Outstanding Holdings and the Trade Rate from the
Sample Realization of the Rolling Horizon Approximation of the HJB Based Adaptive Cost Strategy using the
Market State Trajectory the follows the Zero Mean Ornstein-Uhlenbeck Evolution Dynamics.
|
| AdaptiveOptimalStaticTrajectory |
AdaptiveOptimalStaticTrajectory determines the Outstanding Holdings and the Trade Rate from the "Mean
Market State" Static Trajectory using the Market State Trajectory the follows the Zero Mean
Ornstein-Uhlenbeck Evolution Dynamics.
|
| CoordinatedMarketStateTrajectory |
CoordinatedMarketStateTrajectory traces a Sample Realization of the Market State Trajectory the follows
the Zero Mean Ornstein-Uhlenbeck Evolution Dynamics.
|
| EnhancedEulerScheme |
EnhancedEulerScheme demonstrates the Enhancement used by Almgren (2009, 2012) to deal with Time Evolution
under Singular Initial Conditions.
|
| HighUrgencyTrajectoryComparison |
HighUrgencyTrajectoryComparison compares the Static Continuous Trading Trajectory generated by the Almgren
and Chriss (2012) Scheme against the High Urgency Asymptote Version.
|
| LowUrgencyTrajectoryComparison |
LowUrgencyTrajectoryComparison compares the Static Continuous Trading Trajectory generated by the Almgren
and Chriss (2012) Scheme against the Low Urgency Asymptote Version.
|
| StaticContinuousOptimalTrajectory |
StaticContinuousOptimalTrajectory demonstrates the Generation and Usage of Continuous Version of the
Discrete Trading Trajectory generated by the Almgren and Chriss (2000) Scheme under the Criterion of
No-Drift.
|