Package org.drip.execution.nonadaptive

Class StaticOptimalScheme

java.lang.Object
org.drip.execution.nonadaptive.StaticOptimalScheme
Direct Known Subclasses:
StaticOptimalSchemeContinuous, StaticOptimalSchemeDiscrete
public abstract class StaticOptimalScheme
extends java.lang.Object
StaticOptimalScheme generates the Trade/Holdings List of Static Optimal Execution Schedule based on the Discrete/Continuous Trade Trajectory Control, the Price Walk Parameters, and the Objective Utility Function. 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

    • objectiveUtility

      public ObjectiveUtility objectiveUtility()
      Retrieve the Optimizer Objective Utility Function
      Returns:
      The Optimizer Objective Utility Function

    • priceEvolutionParameters

      public ArithmeticPriceEvolutionParameters priceEvolutionParameters()
      Retrieve the Asset Arithmetic Price Evolution Parameters
      Returns:
      The Asset Arithmetic Price Evolution Parameters

    • generate

      public abstract EfficientTradingTrajectory generate()
      Invoke the Optimizer, and generate/return the Optimal Trading Trajectory Instance
      Returns:
      The Optimal Trading Trajectory Instance