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

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

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

    Subclasses of StaticOptimalSchemeContinuous 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.