Package org.drip.execution.optimum

Interface EfficientTradingTrajectory

All Superinterfaces:
TradingTrajectory
All Known Implementing Classes:
AlmgrenChrissDiscrete, AlmgrenChrissDriftDiscrete, EfficientTradingTrajectoryContinuous, EfficientTradingTrajectoryDiscrete, PowerImpactContinuous, TradingEnhancedDiscrete
public interface EfficientTradingTrajectory
extends TradingTrajectory
EfficientTradingTrajectory contains the Efficient Trading Trajectory generated by one of the Methods outlined in the Almgren and Chriss (2000) and Almgren (2003) Scheme for Discrete and Continuous Trading Approximation respectively. The References are:

  • Almgren, R., and N. Chriss (1999): Value under Liquidation Risk 12 (12)
  • Almgren, R. F., and N. Chriss (2000): Optimal Execution of Portfolio Transactions Journal of Risk 3 (2) 5-39
  • Almgren, R. (2003): Optimal Execution with Nonlinear Impact Functions and Trading-Enhanced Risk Applied Mathematical Finance 10 (1) 1-18
  • Almgren, R., and N. Chriss (2003): Bidding Principles Risk 97-102
  • Bertsimas, D., and A. W. Lo (1998): Optimal Control of Execution Costs Journal of Financial Markets 1 1-50


Author:
Lakshmi Krishnamurthy

  • Method Details

    • marketPower

      double marketPower()
      Retrieve the Intrinsic Market Power Parameter
      Returns:
      The Intrinsic Market Power Parameter

    • transactionCostExpectation

      double transactionCostExpectation()
      Retrieve the Expected Transaction Cost
      Returns:
      The Expected Transaction Cost

    • transactionCostVariance

      double transactionCostVariance()
      Retrieve the Variance of the Expected Transaction Cost
      Returns:
      The Variance of the Expected Transaction Cost