Uses of Package
org.drip.execution.parameters
| Package | Description |
|---|---|
| org.drip.execution.athl |
Almgren-Thum-Hauptmann-Li Calibration
|
| org.drip.execution.dynamics |
Arithmetic Price Evolution Execution Parameters
|
| org.drip.execution.parameters |
Empirical Market Impact Coefficients Calibration
|
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Classes in org.drip.execution.parameters used by org.drip.execution.athl Class Description 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). -
Classes in org.drip.execution.parameters used by org.drip.execution.dynamics Class Description ArithmeticPriceDynamicsSettings ArithmeticPriceDynamicsSettings contains the Arithmetic Price Evolution Dynamics Parameters used in the Almgren and Chriss (2000) Optimal Trajectory Generation Scheme. -
Classes in org.drip.execution.parameters used by org.drip.execution.parameters Class Description ArithmeticPriceDynamicsSettings ArithmeticPriceDynamicsSettings contains the Arithmetic Price Evolution Dynamics Parameters used in the Almgren and Chriss (2000) Optimal Trajectory Generation Scheme.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.