Package org.drip.execution.principal

Information Ratio Based Principal Trades
Author:
Lakshmi Krishnamurthy
  • Class Summary
    Class Description
    Almgren2003Estimator
    Almgren2003Estimator generates the Gross Profit Distribution and the Information Ratio for a given Level of Principal Discount for an Optimal Trajectory that is generated using the Almgren (2003) Scheme.
    GrossProfitEstimator
    GrossProfitEstimator generates the Gross Profit Distribution and the Information Ratio for a given Level of Principal Discount.
    GrossProfitExpectation
    GrossProfitExpectation implements the R1 To R1 Univariate that computes the Explicit Profit of a Principal Execution given the Optimal Trajectory.
    HorizonInformationRatioDependence
    HorizonInformationRatioDependence holds the Dependence Constants/Exponents for the Optimal Information Ratio and the corresponding Horizon.
    OptimalMeasureDependence
    OptimalMeasureDependence contains the Dependence Exponents on Liquidity, Trade Size, and Permanent Impact Adjusted Principal Discount for the Optimal Principal Horizon and the Optional Information Ratio.