Package org.drip.execution.nonadaptive

Class DiscreteAlmgrenChrissDrift

java.lang.Object

org.drip.execution.nonadaptive.StaticOptimalScheme

org.drip.execution.nonadaptive.StaticOptimalSchemeDiscrete

org.drip.execution.nonadaptive.DiscreteAlmgrenChrissDrift

public class DiscreteAlmgrenChrissDrift
extends StaticOptimalSchemeDiscrete

DiscreteAlmgrenChrissDrift generates the Trade/Holdings List of Optimal Execution Schedule for the Equally Spaced Trading Intervals based on the Linear Impact Evolution Walk Parameters with Drift 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

• 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
EfficientTradingTrajectoryDiscrete	generate()	Invoke the Optimizer, and generate/return the Optimal Trading Trajectory Instance
static DiscreteAlmgrenChrissDrift	Standard(double dblStartHoldings, double dblFinishTime, int iNumInterval, LinearPermanentExpectationParameters lpep, double dblRiskAversion)	Create the Standard DiscreteAlmgrenChrissDrift Instance

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

control

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 DiscreteAlmgrenChrissDrift Standard(double dblStartHoldings,
double dblFinishTime,
int iNumInterval,
LinearPermanentExpectationParameters lpep,
double dblRiskAversion)

Create the Standard DiscreteAlmgrenChrissDrift 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 DiscreteAlmgrenChrissDrift Instance

generate

public EfficientTradingTrajectoryDiscrete 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