Package org.drip.execution.athl

Almgren-Thum-Hauptmann-Li Calibration
Author:
Lakshmi Krishnamurthy
  • Class Summary
    Class Description
    CalibrationEmpirics
    CalibrationEmpirics contains the Universal Market Impact Exponent/Coefficients that have been determined empirically by Almgren, Thum, Hauptmann, and Li (2005), using the Parameterization of Almgren (2003).
    DynamicsParameters
    DynamicsParameters generates the Variants of the Market Dynamics Parameters constructed using the Methodologies presented in Almgren, Thum, Hauptmann, and Li (2005), using the Parameterization of Almgren (2003).
    IJK
    IJK holds the Empirical Signals that have been emitted off of a Transaction Run using the Scheme by Almgren, Thum, Hauptmann, and Li (2005), using the Parameterization of Almgren (2003).
    PermanentImpactNoArbitrage
    PermanentImpactNoArbitrage implements the Linear Permanent Market Impact with Coefficients that have been determined empirically by Almgren, Thum, Hauptmann, and Li (2005), using the no Quasi-Arbitrage Criterion identified by Huberman and Stanzl (2004).
    PermanentImpactQuasiArbitrage
    PermanentImpactQuasiArbitrage implements the Linear Permanent Market Impact with Coefficients that have been determined empirically by Almgren, Thum, Hauptmann, and Li (2005), independent of the no Quasi- Arbitrage Criterion identified by Huberman and Stanzl (2004).
    TemporaryImpact
    TemporaryImpact implements the Temporary Market Impact with Exponent/Coefficients that have been determined empirically by Almgren, Thum, Hauptmann, and Li (2005), using the Parameterization of Almgren (2003).
    TransactionRealization
    TransactionRealization holds the Suite of Empirical Drift/Wander Signals that have been emitted off of a Transaction Run using the Scheme by Almgren, Thum, Hauptmann, and Li (2005), using the Parameterization of Almgren (2003).
    TransactionSignal
    TransactionSignal holds the Realized Empirical Signals that have been emitted off of a Transaction Run, decomposed using the Scheme by Almgren, Thum, Hauptmann, and Li (2005), based off of the Parameterization of Almgren (2003).