org.drip.sample.execution

Class LinearImpactNoDrift

java.lang.Object

org.drip.sample.execution.LinearImpactNoDrift

public class LinearImpactNoDrift
extends java.lang.Object

LinearImpactNoDrift generates the Trade/Holdings List of Optimal Execution Schedule based on the Evolution Walk Parameters specified. The Generation follows a Numerical Optimizer Scheme, as opposed to the Almgren-Chriss 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. - 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
LinearImpactNoDrift()

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

LinearImpactNoDrift

public LinearImpactNoDrift()

Method Detail

main

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

Throws:

java.lang.Exception