Uses of Package
org.drip.execution.dynamics
| Package | Description |
|---|---|
| org.drip.execution.athl |
Almgren-Thum-Hauptmann-Li Calibration
|
| org.drip.execution.capture |
Execution Trajectory Transaction Cost Capture
|
| org.drip.execution.discrete |
Trajectory Slice Execution Cost Distribution
|
| org.drip.execution.dynamics |
Arithmetic Price Evolution Execution Parameters
|
| org.drip.execution.nonadaptive |
Almgren-Chriss Static Optimal Trajectory
|
| org.drip.execution.optimum |
Almgren-Chriss Efficient Trading Trajectories
|
| org.drip.execution.principal |
Information Ratio Based Principal Trades
|
| org.drip.execution.sensitivity |
Trajectory Control Nodes Sensitivity Greeks
|
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Classes in org.drip.execution.dynamics used by org.drip.execution.athl Class Description LinearPermanentExpectationParameters LinearPermanentExpectationParameters implements a Permanent Market Impact Function where the Price Change scales linearly with the Trade Rate. -
Classes in org.drip.execution.dynamics used by org.drip.execution.capture Class Description ArithmeticPriceEvolutionParameters ArithmeticPriceEvolutionParameters contains the Exogenous Parameters that determine the Dynamics of the Arithmetic Price Movements exhibited by an Asset owing to the Volatility and the Market Impact Factors.WalkSuite WalkSuite holds the Walk Random Variables (e.g., Weiner Variates) that correspond to an Instance of Walk attributable to different Factor Contributions inside of a Slice Increment. -
Classes in org.drip.execution.dynamics used by org.drip.execution.discrete Class Description ArithmeticPriceEvolutionParameters ArithmeticPriceEvolutionParameters contains the Exogenous Parameters that determine the Dynamics of the Arithmetic Price Movements exhibited by an Asset owing to the Volatility and the Market Impact Factors.WalkSuite WalkSuite holds the Walk Random Variables (e.g., Weiner Variates) that correspond to an Instance of Walk attributable to different Factor Contributions inside of a Slice Increment. -
Classes in org.drip.execution.dynamics used by org.drip.execution.dynamics Class Description ArithmeticPriceEvolutionParameters ArithmeticPriceEvolutionParameters contains the Exogenous Parameters that determine the Dynamics of the Arithmetic Price Movements exhibited by an Asset owing to the Volatility and the Market Impact Factors.LinearPermanentExpectationParameters LinearPermanentExpectationParameters implements a Permanent Market Impact Function where the Price Change scales linearly with the Trade Rate. -
Classes in org.drip.execution.dynamics used by org.drip.execution.nonadaptive Class Description ArithmeticPriceEvolutionParameters ArithmeticPriceEvolutionParameters contains the Exogenous Parameters that determine the Dynamics of the Arithmetic Price Movements exhibited by an Asset owing to the Volatility and the Market Impact Factors.LinearPermanentExpectationParameters LinearPermanentExpectationParameters implements a Permanent Market Impact Function where the Price Change scales linearly with the Trade Rate. -
Classes in org.drip.execution.dynamics used by org.drip.execution.optimum Class Description ArithmeticPriceEvolutionParameters ArithmeticPriceEvolutionParameters contains the Exogenous Parameters that determine the Dynamics of the Arithmetic Price Movements exhibited by an Asset owing to the Volatility and the Market Impact Factors. -
Classes in org.drip.execution.dynamics used by org.drip.execution.principal Class Description LinearPermanentExpectationParameters LinearPermanentExpectationParameters implements a Permanent Market Impact Function where the Price Change scales linearly with the Trade Rate. -
Classes in org.drip.execution.dynamics used by org.drip.execution.sensitivity Class Description ArithmeticPriceEvolutionParameters ArithmeticPriceEvolutionParameters contains the Exogenous Parameters that determine the Dynamics of the Arithmetic Price Movements exhibited by an Asset owing to the Volatility and the Market Impact Factors.