public class OptimalTrajectoryIBM
extends java.lang.Object
OptimalTrajectoryIBM demonstrates the Trade Scheduling using the Equity Market Impact Functions determined
empirically by Almgren, Thum, Hauptmann, and Li (2005), using the Parameterization of Almgren (2003) for
IBM. 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.
- Almgren, R. (2003): Optimal Execution with Nonlinear Impact Functions and Trading-Enhanced Risk,
Applied Mathematical Finance 10 (1) 1-18.
- Almgren, R., and N. Chriss (2003): Bidding Principles, Risk 97-102.
- Almgren, R., C. Thum, E. Hauptmann, and H. Li (2005): Equity Market Impact, Risk 18 (7) 57-62.
- Author:
- Lakshmi Krishnamurthy