Package org.drip.execution.optimum

Almgren-Chriss Efficient Trading Trajectories
Author:
Lakshmi Krishnamurthy
  • Interface Summary
    Interface Description
    EfficientTradingTrajectory
    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.
  • Class Summary
    Class Description
    AlmgrenChrissDiscrete
    AlmgrenChrissDiscrete contains the Trading Trajectory generated by the Almgren and Chriss (2000) Scheme under the Criterion of No-Drift.
    AlmgrenChrissDriftDiscrete
    AlmgrenChrissDriftDiscrete contains the Trading Trajectory generated by the Almgren and Chriss (2000) Scheme under the Criterion of Non-zero Drift.
    EfficientTradingTrajectoryContinuous
    EfficientTradingTrajectoryContinuous contains the Efficient Trading Trajectory generated by one of the Methods outlined in the Almgren (2003) Scheme for Continuous Trading Approximation.
    EfficientTradingTrajectoryDiscrete
    EfficientTradingTrajectoryDiscrete contains the Discrete Trading Trajectory generated by a given Optimal Trajectory Generation Scheme.
    PowerImpactContinuous
    PowerImpactContinuous contains the Trading Trajectory generated by the Almgren (2003) Power Impact Scheme under the Criterion of No-Drift.
    TradingEnhancedDiscrete
    TradingEnhancedDiscrete contains the Trading Trajectory generated by one of the Methods outlined in the Almgren (2003) Scheme for Continuous Trading Approximation for Linear Trading Enhanced Temporary Impact Volatility.