Package org.drip.execution.nonadaptive

Class ContinuousCoordinatedVariationDeterministic

java.lang.Object

org.drip.execution.nonadaptive.StaticOptimalScheme

org.drip.execution.nonadaptive.StaticOptimalSchemeContinuous

org.drip.execution.nonadaptive.ContinuousCoordinatedVariationDeterministic

public class ContinuousCoordinatedVariationDeterministic
extends StaticOptimalSchemeContinuous

ContinuousCoordinatedVariationDeterministic uses the Coordinated Variation Version of the Linear Participation Rate Transaction Function as described in the "Trading Time" Model to construct an Optimal Trading Trajectory. 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
• Jones, C. M., G. Kaul, and M. L. Lipson (1994): Transactions, Volume, and Volatility Review of Financial Studies 7 (4) 631-651

• 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

Method Summary

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

Method Details

Standard

public static final ContinuousCoordinatedVariationDeterministic Standard(double dblStartHoldings,
double dblFinishTime,
ArithmeticPriceEvolutionParameters apep,
double dblRiskAversion)

Create the Standard ContinuousCoordinatedVariationDeterministic Instance

Parameters:

dblStartHoldings - Trajectory Start Holdings

dblFinishTime - Trajectory Finish Time

apep - The Arithmetic Price Evolution Parameters

dblRiskAversion - The Risk Aversion Parameter

Returns:

The ContinuousCoordinatedVariationDeterministic 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