public class LinearImpactWithDrift
extends java.lang.Object
LinearImpactWithDrift 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 includes 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