Package org.drip.execution.nonadaptive

Class DiscreteLinearTradingEnhanced

java.lang.Object

org.drip.execution.nonadaptive.StaticOptimalScheme

org.drip.execution.nonadaptive.StaticOptimalSchemeDiscrete

org.drip.execution.nonadaptive.DiscreteLinearTradingEnhanced

public class DiscreteLinearTradingEnhanced
extends StaticOptimalSchemeDiscrete

DiscreteLinearTradingEnhanced contains the Volatility Trading Trajectory generated by the Almgren (2003) Scheme under the Criterion of No-Drift AND Linear Temporary Impact Volatility. The References are:

• Almgren, R., and N. Chriss (1999): Value under Liquidation Risk 12 (12)
• Almgren, R. F., and N. Chriss (2000): Optimal Execution of Portfolio Transactions Journal of Risk 3 (2) 5-39
• Almgren, R. (2003): Optimal Execution with Nonlinear Impact Functions and Trading-Enhanced Risk Applied Mathematical Finance 10 (1) 1-18
• Almgren, R., and N. Chriss (2003): Bidding Principles Risk 97-102
• Bertsimas, D., and A. W. Lo (1998): Optimal Control of Execution Costs Journal of Financial Markets 1 1-50

• 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 DiscreteLinearTradingEnhanced	Standard(double dblStartHoldings, double dblFinishTime, int iNumInterval, ArithmeticPriceEvolutionParameters apep, double dblRiskAversion)	Create the Standard DiscreteLinearTradingEnhanced 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 DiscreteLinearTradingEnhanced Standard(double dblStartHoldings,
double dblFinishTime,
int iNumInterval,
ArithmeticPriceEvolutionParameters apep,
double dblRiskAversion)

Create the Standard DiscreteLinearTradingEnhanced Instance

Parameters:

dblStartHoldings - Trajectory Start Holdings

dblFinishTime - Trajectory Finish Time

iNumInterval - The Number of Fixed Intervals

apep - Almgren 2003 Arithmetic Price Evolution Parameters

dblRiskAversion - The Risk Aversion Parameter

Returns:

The DiscreteLinearTradingEnhanced Instance

generate

public EfficientTradingTrajectory 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