public class AdaptiveZeroInitialHoldings
extends java.lang.Object
AdaptiveZeroInitialHoldings simulates the Outstanding Holdings from the Sample Realization of the 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
Initial Dynamics corresponds to the Zero Cost, Zero Cost Sensitivities, and Zero Trade Rate. 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