public class RollingHorizonOptimalHoldings
extends java.lang.Object
RollingHorizonOptimalHoldings simulates the Holdings from the Sample Realization of the Adaptive Cost
Strategy using the Market State Trajectory the follows the Zero Mean Ornstein-Uhlenbeck Evolution
Dynamics. Instead of a HJB Based Truly Adaptive Strategy, a Rolling Horizon Approximation is used. 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