public class OptimalTrajectoryMeasures
extends java.lang.Object
OptimalTrajectoryMeasures 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. It generates the Transaction Cost/Principal Discount Measures from the Run 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