Package org.drip.execution.nonadaptive

Class StaticOptimalSchemeDiscrete

java.lang.Object

org.drip.execution.nonadaptive.StaticOptimalScheme

org.drip.execution.nonadaptive.StaticOptimalSchemeDiscrete

Direct Known Subclasses:

DiscreteAlmgrenChriss, DiscreteAlmgrenChrissDrift, DiscreteLinearTradingEnhanced

public class StaticOptimalSchemeDiscrete
extends StaticOptimalScheme

StaticOptimalSchemeDiscrete generates the Trade/Holdings List of Static Optimal Execution Schedule based on the Discrete 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
StaticOptimalSchemeDiscrete(DiscreteTradingTrajectoryControl dttc, ArithmeticPriceEvolutionParameters apep, ObjectiveUtility ou)	StaticOptimalSchemeDiscrete Constructor

Method Summary

Modifier and Type	Method	Description
DiscreteTradingTrajectoryControl	control()	Retrieve the Discrete Trajectory Control Settings
EfficientTradingTrajectory	generate()	Invoke the Optimizer, and generate/return the Optimal Trading Trajectory Instance

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

Constructor Details

StaticOptimalSchemeDiscrete

public StaticOptimalSchemeDiscrete(DiscreteTradingTrajectoryControl dttc,
ArithmeticPriceEvolutionParameters apep,
ObjectiveUtility ou)
                            throws java.lang.Exception

StaticOptimalSchemeDiscrete Constructor

Parameters:

dttc - The Discrete Trading Trajectory Control Parameters

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

control

public DiscreteTradingTrajectoryControl control()

Retrieve the Discrete Trajectory Control Settings

Returns:

The Discrete Trajectory Control Settings

generate

public EfficientTradingTrajectory generate()

Description copied from class: StaticOptimalScheme

Invoke the Optimizer, and generate/return the Optimal Trading Trajectory Instance

Specified by:

generate in class StaticOptimalScheme

Returns:

The Optimal Trading Trajectory Instance