Uses of Class
org.drip.execution.nonadaptive.StaticOptimalScheme

Packages that use StaticOptimalScheme
Package Description
org.drip.execution.nonadaptive
Almgren-Chriss Static Optimal Trajectory

  • Uses of StaticOptimalScheme in org.drip.execution.nonadaptive

    Subclasses of StaticOptimalScheme in org.drip.execution.nonadaptive
    Modifier and Type Class Description
    class  ContinuousAlmgrenChriss
    ContinuousAlmgrenChriss contains the Continuous Version of the Discrete Trading Trajectory generated by the Almgren and Chriss (2000) Scheme under the Criterion of No-Drift.
    class  ContinuousConstantTradingEnhanced
    ContinuousConstantTradingEnhanced contains the Constant Volatility Trading Trajectory generated by the Almgren and Chriss (2003) Scheme under the Criterion of No-Drift AND Constant Temporary Impact Volatility.
    class  ContinuousCoordinatedVariationDeterministic
    ContinuousCoordinatedVariationDeterministic uses the Coordinated Variation Version of the Linear Participation Rate Transaction Function as described in the "Trading Time" Model to construct an Optimal Trading Trajectory.
    class  ContinuousCoordinatedVariationStochastic
    ContinuousCoordinatedVariationStochastic uses the Coordinated Variation Version of the Linear Participation Rate Transaction Function as described in the "Trading Time" Model to construct an Optimal Trading Trajectory in the T To Infinite Limit.
    class  ContinuousHighUrgencyAsymptote
    ContinuousHighUrgencyAsymptote contains the High Urgency Asymptote of the Static Continuous Trading Trajectory generated by the Almgren and Chriss (2000) Scheme under the Criterion of No-Drift.
    class  ContinuousLowUrgencyAsymptote
    ContinuousLowUrgencyAsymptote contains the Low Urgency Asymptote of the Static Continuous Trading Trajectory generated by the Almgren and Chriss (2000) Scheme under the Criterion of No-Drift.
    class  ContinuousPowerImpact
    ContinuousPowerImpact contains the Temporary Impact Power Law Trading Trajectory generated by the Almgren and Chriss (2003) Scheme under the Criterion of No-Drift.
    class  DiscreteAlmgrenChriss
    DiscreteAlmgrenChriss generates the Trade/Holdings List of Optimal Execution Schedule for the Equally Spaced Trading Intervals based on the No-Drift Linear Impact Evolution Walk Parameters specified.
    class  DiscreteAlmgrenChrissDrift
    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.
    class  DiscreteLinearTradingEnhanced
    DiscreteLinearTradingEnhanced contains the Volatility Trading Trajectory generated by the Almgren (2003) Scheme under the Criterion of No-Drift AND Linear Temporary Impact Volatility.
    class  StaticOptimalSchemeContinuous
    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.
    class  StaticOptimalSchemeDiscrete
    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.