org.drip.sample.almgrenchriss

Class OptimalSerialCorrelationImpact

java.lang.Object

org.drip.sample.almgrenchriss.OptimalSerialCorrelationImpact

public class OptimalSerialCorrelationImpact
extends java.lang.Object

OptimalSerialCorrelationImpact estimates the Optimal Adjustment to the Optimal Trading Trajectory attributable to Serial Correlation in accordance with the Specification of Almgren and Chriss (2000) for the given Risk Aversion Parameter without the Asset Drift. 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. - Bertsimas, D., and A. W. Lo (1998): Optimal Control of Execution Costs, Journal of Financial Markets, 1, 1-50. - Chan, L. K. C., and J. Lakonishak (1995): The Behavior of Stock Prices around Institutional Trades, Journal of Finance, 50, 1147-1174. - Keim, D. B., and A. Madhavan (1997): Transaction Costs and Investment Style: An Inter-exchange Analysis of Institutional Equity Trades, Journal of Financial Economics, 46, 265-292.

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor and Description
OptimalSerialCorrelationImpact()

Method Summary

Modifier and Type	Method and Description
static void	main(java.lang.String[] astrArgs)

Methods inherited from class java.lang.Object

equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Detail

OptimalSerialCorrelationImpact

public OptimalSerialCorrelationImpact()

Method Detail

main

public static void main(java.lang.String[] astrArgs)
                 throws java.lang.Exception

Throws:

java.lang.Exception