Package org.drip.execution.nonadaptive

Class ContinuousHighUrgencyAsymptote

java.lang.Object

org.drip.execution.nonadaptive.StaticOptimalScheme

org.drip.execution.nonadaptive.StaticOptimalSchemeContinuous

org.drip.execution.nonadaptive.ContinuousHighUrgencyAsymptote

public class ContinuousHighUrgencyAsymptote
extends StaticOptimalSchemeContinuous

ContinuousHighUrgencyAsymptote contains the High Urgency Asymptote of the Static Continuous 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

Method Summary

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

Create the Standard ContinuousHighUrgencyAsymptote Instance

Parameters:

dblStartHoldings - Trajectory Start Holdings

dblFinishTime - Trajectory Finish Time

lpep - The Linear Impact Expectation Parameters

dblRiskAversion - The Risk Aversion Parameter

Returns:

The ContinuousHighUrgencyAsymptote 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