| Class | Description |
|---|---|
| ImpactExponentAnalysis |
ImpactExponentAnalysis demonstrates the Analysis of the Dependence of the Optimal Principal Measures on
the Exponent of the Temporary Market Impact.
|
| InformationRatioAnalysis |
InformationRatioAnalysis demonstrates the Analysis of the Dependence of the Optimal Principal Measures on
the Information Ratio Hurdle.
|
| OptimalMeasuresConstantExponent |
OptimalMeasuresConstantExponent demonstrates the Dependence Exponents on Liquidity, Trade Size, and
Permanent Impact Adjusted Principal Discount for the Optimal Principal Horizon and the Optional
Information Ratio.
|
| OptimalMeasuresDiscountDependence |
OptimalMeasuresDiscountDependence demonstrates the Dependence of the Optimal Principal Measures on the
Discount.
|
| OptimalMeasuresReconciler |
OptimalMeasuresReconciler reconciles the Dependence Exponents on Liquidity, Trade Size, and Permanent
Impact Adjusted Principal Discount for the Optimal Principal Horizon and the Optional Information Ratio
with Almgren and Chriss (2003).
|
| OptimalTrajectoryMeasures |
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.
|