Uses of Package
org.drip.execution.optimum
| Package | Description |
|---|---|
| org.drip.execution.adaptive |
Coordinated Variation Based Adaptive Execution
|
| org.drip.execution.cost |
Linear Temporary Market Impact Cost
|
| org.drip.execution.nonadaptive |
Almgren-Chriss Static Optimal Trajectory
|
| org.drip.execution.optimum |
Almgren-Chriss Efficient Trading Trajectories
|
| org.drip.execution.principal |
Information Ratio Based Principal Trades
|
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Classes in org.drip.execution.optimum used by org.drip.execution.adaptive Class Description EfficientTradingTrajectoryContinuous EfficientTradingTrajectoryContinuous contains the Efficient Trading Trajectory generated by one of the Methods outlined in the Almgren (2003) Scheme for Continuous Trading Approximation. -
Classes in org.drip.execution.optimum used by org.drip.execution.cost Class Description EfficientTradingTrajectoryContinuous EfficientTradingTrajectoryContinuous contains the Efficient Trading Trajectory generated by one of the Methods outlined in the Almgren (2003) Scheme for Continuous Trading Approximation. -
Classes in org.drip.execution.optimum used by org.drip.execution.nonadaptive Class 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.EfficientTradingTrajectoryDiscrete EfficientTradingTrajectoryDiscrete contains the Discrete Trading Trajectory generated by a given Optimal Trajectory Generation Scheme. -
Classes in org.drip.execution.optimum used by org.drip.execution.optimum Class Description AlmgrenChrissDiscrete AlmgrenChrissDiscrete contains the Trading Trajectory generated by the Almgren and Chriss (2000) Scheme under the Criterion of No-Drift.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.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. -
Classes in org.drip.execution.optimum used by org.drip.execution.principal Class 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.PowerImpactContinuous PowerImpactContinuous contains the Trading Trajectory generated by the Almgren (2003) Power Impact Scheme under the Criterion of No-Drift.