Class DiscreteAlmgrenChriss

java.lang.Object

public class DiscreteAlmgrenChriss
extends StaticOptimalSchemeDiscrete
DiscreteAlmgrenChriss generates the Trade/Holdings List of Optimal Execution Schedule for the Equally Spaced Trading Intervals based on the No-Drift Linear Impact Evolution Walk Parameters specified. The References are:

  • Almgren, R., and N. Chriss (1999): Value under Liquidation Risk 12 (12)
  • Almgren, R., and N. Chriss (2000): Optimal Execution of Portfolio Transactions Journal of Risk 3 (2) 5-39
  • Bertsimas, D., and A. W. Lo (1998): Optimal Control of Execution Costs Journal of Financial Markets 1 1-50
  • Chan, L. K. C., and J. Lakonishak (1995): The Behavior of Stock Prices around Institutional Trades Journal of Finance 50 1147-1174
  • Keim, D. B., and A. Madhavan (1997): Transaction Costs and Investment Style: An Inter-exchange Analysis of Institutional Equity Trades Journal of Financial Economics 46 265-292


Author:
Lakshmi Krishnamurthy
  • Method Details

    • Standard

      public static final DiscreteAlmgrenChriss Standard​(double dblStartHoldings, double dblFinishTime, int iNumInterval, LinearPermanentExpectationParameters lpep, double dblRiskAversion)
      Create the Standard DiscreteAlmgrenChriss Instance
      Parameters:
      dblStartHoldings - Trajectory Start Holdings
      dblFinishTime - Trajectory Finish Time
      iNumInterval - The Number of Fixed Intervals
      lpep - Linear Impact Price Walk Parameters
      dblRiskAversion - The Risk Aversion Parameter
      Returns:
      The DiscreteAlmgrenChriss Instance
    • generate

      Description copied from class: StaticOptimalScheme
      Invoke the Optimizer, and generate/return the Optimal Trading Trajectory Instance
      Overrides:
      generate in class StaticOptimalSchemeDiscrete
      Returns:
      The Optimal Trading Trajectory Instance