Package org.drip.execution.nonadaptive

Almgren-Chriss Static Optimal Trajectory
Author:
Lakshmi Krishnamurthy
  • Class Summary
    Class Description
    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.
    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.
    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.
    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.
    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.
    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.
    ContinuousPowerImpact
    ContinuousPowerImpact contains the Temporary Impact Power Law Trading Trajectory generated by the Almgren and Chriss (2003) Scheme under the Criterion of No-Drift.
    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.
    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.
    DiscreteLinearTradingEnhanced
    DiscreteLinearTradingEnhanced contains the Volatility Trading Trajectory generated by the Almgren (2003) Scheme under the Criterion of No-Drift AND Linear Temporary Impact Volatility.
    StaticOptimalScheme
    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.
    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.
    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.