Package org.drip.execution.nonadaptive

Class ContinuousAlmgrenChriss

java.lang.Object

org.drip.execution.nonadaptive.StaticOptimalScheme

org.drip.execution.nonadaptive.StaticOptimalSchemeContinuous

org.drip.execution.nonadaptive.ContinuousAlmgrenChriss

public class ContinuousAlmgrenChriss
extends StaticOptimalSchemeContinuous

ContinuousAlmgrenChriss contains the Continuous Version of the Discrete Trading Trajectory generated by the Almgren and Chriss (2000) Scheme under the Criterion of No-Drift. The References are:

• Almgren, R. F., and N. Chriss (2000): Optimal Execution of Portfolio Transactions Journal of Risk 3 (2) 5-39
• Almgren, R. F. (2009): Optimal Trading in a Dynamic Market https://www.math.nyu.edu/financial_mathematics/content/02_financial/2009-2.pdf
• Almgren, R. F. (2012): Optimal Trading with Stochastic Liquidity and Volatility SIAM Journal of Financial Mathematics 3 (1) 163-181
• Geman, H., D. B. Madan, and M. Yor (2001): Time Changes for Levy Processes Mathematical Finance 11 (1) 79-96
• Walia, N. (2006): Optimal Trading: Dynamic Stock Liquidation Strategies Princeton University

• Module = Product Core Module
• Library = Transaction Cost Analytics
• Project = Optimal Impact/Capture Based Trading Trajectories - Deterministic, Stochastic, Static, and Dynamic
• Package = Almgren-Chriss Static Optimal Trajectory

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor	Description
ContinuousAlmgrenChriss(OrderSpecification os, LinearPermanentExpectationParameters lpep, MeanVarianceObjectiveUtility mvou)	ContinuousAlmgrenChriss Constructor

Method Summary

Modifier and Type	Method	Description
EfficientTradingTrajectory	generate()	Invoke the Optimizer, and generate/return the Optimal Trading Trajectory Instance
static ContinuousAlmgrenChriss	Standard(double dblStartHoldings, double dblFinishTime, LinearPermanentExpectationParameters lpep, double dblRiskAversion)	Create the Standard ContinuousAlmgrenChriss Instance

Methods inherited from class org.drip.execution.nonadaptive.StaticOptimalSchemeContinuous

orderSpecification

Methods inherited from class org.drip.execution.nonadaptive.StaticOptimalScheme

objectiveUtility, priceEvolutionParameters

Methods inherited from class java.lang.Object

equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Details

ContinuousAlmgrenChriss

public ContinuousAlmgrenChriss(OrderSpecification os,
LinearPermanentExpectationParameters lpep,
MeanVarianceObjectiveUtility mvou)
                        throws java.lang.Exception

ContinuousAlmgrenChriss Constructor

Parameters:

os - The Order Specification

lpep - The Linear Impact Expectation Parameters

mvou - The Mean Variation Objective Utility

Throws:

java.lang.Exception - Thrown if the Inputs are Invalid

Method Details

Standard

public static final ContinuousAlmgrenChriss Standard(double dblStartHoldings,
double dblFinishTime,
LinearPermanentExpectationParameters lpep,
double dblRiskAversion)

Create the Standard ContinuousAlmgrenChriss Instance

Parameters:

dblStartHoldings - Trajectory Start Holdings

dblFinishTime - Trajectory Finish Time

lpep - The Linear Impact Expectation Parameters

dblRiskAversion - The Risk Aversion Parameter

Returns:

The ContinuousAlmgrenChriss Instance

generate

public EfficientTradingTrajectory generate()

Description copied from class: StaticOptimalScheme

Invoke the Optimizer, and generate/return the Optimal Trading Trajectory Instance

Specified by:

generate in class StaticOptimalScheme

Returns:

The Optimal Trading Trajectory Instance