public class FixedDriftTrajectoryComparator
extends java.lang.Object
FixedDriftTrajectoryComparator demonstrates the Optimal Trajectory for a Price Process with Bayes' Drift,
Arithmetic Volatility, and Linear Temporary Market Impact. The References are:
- Bertsimas, D., and A. W. Lo (1998): Optimal Control of Execution Costs, Journal of Financial Markets 1
1-50.
- Almgren, R., and N. Chriss (2000): Optimal Execution of Portfolio Transactions, Journal of Risk 3 (2)
5-39.
- Brunnermeier, L. K., and L. H. Pedersen (2005): Predatory Trading, Journal of Finance 60 (4) 1825-1863.
- Almgren, R., and J. Lorenz (2006): Bayesian Adaptive Trading with a Daily Cycle, Journal of Trading 1
(4) 38-46.
- Kissell, R., and R. Malamut (2007): Algorithmic Decision Making Framework, Journal of Trading 1 (1)
12-21.
- Author:
- Lakshmi Krishnamurthy