| Class | Description |
|---|---|
| EfficientFrontierNoDrift |
EfficientFrontierNoDrift constructs the Efficient Frontier over a Sequence of Risk Aversion Parameters for
Optimal Trading Trajectories computed in accordance with the Specification of Almgren and Chriss (2000),
and calculates the corresponding Execution Half Life and the Trajectory Penalty without regard to the
Drift.
|
| EfficientFrontierWithDrift |
EfficientFrontierWithDrift constructs the Efficient Frontier over a Sequence of Risk Aversion Parameters
for Optimal Trading Trajectories computed in accordance with the Specification of Almgren and Chriss
(2000), and calculates the corresponding Execution Half Life and the Trajectory Penalty incorporating the
Impact of Drift.
|
| OptimalSerialCorrelationImpact |
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.
|
| OptimalTrajectoryNoDrift |
OptimalTrajectoryNoDrift demonstrates the Generation of the Optimal Trading Trajectory in accordance with
the Specification of Almgren and Chriss (2000) for the given Risk Aversion Parameter without the Asset
Drift.
|
| OptimalTrajectoryWithDrift |
OptimalTrajectoryWithDrift demonstrates the Generation of the Optimal Trading Trajectory in accordance with
the Specification of Almgren and Chriss (2000) for the given Risk Aversion Parameter inclusive of the
Asset Drift.
|
| TrajectoryComparisonNoDrift |
TrajectoryComparisonNoDrift compares different Optimal Trading Trajectories computed in accordance with
the Specification of Almgren and Chriss (2000) for a Set of Risk Aversion Parameters, excluding the Asset
Drift.
|
| TrajectoryComparisonWithDrift |
TrajectoryComparisonWithDrift compares different Optimal Trading Trajectories computed in accordance with
the Specification of Almgren and Chriss (2000) for a Set of Risk Aversion Parameters, inclusive of the
Asset Drift.
|