Package org.drip.execution.nonadaptive

Class StaticOptimalSchemeContinuous

java.lang.Object

org.drip.execution.nonadaptive.StaticOptimalScheme

org.drip.execution.nonadaptive.StaticOptimalSchemeContinuous

Direct Known Subclasses:

ContinuousAlmgrenChriss, ContinuousConstantTradingEnhanced, ContinuousCoordinatedVariationDeterministic, ContinuousCoordinatedVariationStochastic, ContinuousHighUrgencyAsymptote, ContinuousLowUrgencyAsymptote, ContinuousPowerImpact

public abstract class StaticOptimalSchemeContinuous
extends StaticOptimalScheme

StaticOptimalSchemeContinuous generates the Trade/Holdings List of Static Optimal Execution Schedule based on the 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

• 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

Constructor Summary

Constructors

Constructor	Description
StaticOptimalSchemeContinuous(OrderSpecification os, ArithmeticPriceEvolutionParameters apep, ObjectiveUtility ou)	StaticOptimalSchemeContinuous Constructor

Method Summary

Modifier and Type	Method	Description
OrderSpecification	orderSpecification()	Retrieve the Order Specification

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

generate, objectiveUtility, priceEvolutionParameters

Methods inherited from class java.lang.Object

equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Details

StaticOptimalSchemeContinuous

public StaticOptimalSchemeContinuous(OrderSpecification os,
ArithmeticPriceEvolutionParameters apep,
ObjectiveUtility ou)
                              throws java.lang.Exception

StaticOptimalSchemeContinuous Constructor

Parameters:

os - The Order Specification

apep - The Arithmetic Price Walk Parameters

ou - The Optimizer Objective Utility Function

Throws:

java.lang.Exception - Thrown if the Inputs are not valid

Method Details

orderSpecification

public OrderSpecification orderSpecification()

Retrieve the Order Specification

Returns:

The Order Specification