public class ConcaveImpactNoDrift
extends java.lang.Object
ConcaveImpactNoDrift generates the Trade/Holdings List of Optimal Execution Schedule based on the Concave
Power Law Evolution Walk Parameters specified. The Generation follows a Numerical Optimizer Scheme, as
opposed to the Closed Form; it also excludes the Impact of 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.
- 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.
- Bertsimas, D., and A. W. Lo (1998): Optimal Control of Execution Costs, Journal of Financial Markets,
1, 1-50.
- Author:
- Lakshmi Krishnamurthy