Package org.drip.execution.parameters

Empirical Market Impact Coefficients Calibration
Author:
Lakshmi Krishnamurthy
  • Class Summary
    Class Description
    ArithmeticPriceDynamicsSettings
    ArithmeticPriceDynamicsSettings contains the Arithmetic Price Evolution Dynamics Parameters used in the Almgren and Chriss (2000) Optimal Trajectory Generation Scheme.
    AssetFlowSettings
    AssetFlowSettings contains the Asset's Market Flow Parameters that are determined empirically from Almgren, Thum, Hauptmann, and Li (2005), using the Parameterization of Almgren (2003).
    AssetTransactionSettings
    AssetTransactionSettings contains the Asset Transaction Settings Inputs used in the Construction of the Impact Parameters for the Almgren and Chriss (2000) Optimal Trajectory Generation Scheme.
    PriceMarketImpact
    PriceMarketImpact contains the Price Market Impact Inputs used in the Construction of the Impact Parameters for the Almgren and Chriss (2000) Optimal Trajectory Generation Scheme.
    PriceMarketImpactLinear
    PriceMarketImpactLinear contains the Linear Price Market Impact Inputs used in the Construction of the Impact Parameters for the Almgren and Chriss (2000) Optimal Trajectory Generation Scheme.
    PriceMarketImpactPower
    PriceMarketImpactPower contains the Power Law based Price Market Impact Inputs used in the Construction of the Impact Parameters for the Almgren and Chriss (2000) Optimal Trajectory Generation Scheme.