public class ImpactExponentAnalysis
extends java.lang.Object
ImpactExponentAnalysis demonstrates the Analysis of the Dependence of the Optimal Principal Measures on
the Exponent of the Temporary Market Impact. 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