Package org.drip.execution.strategy

Discrete/Continuous Trading Trajectory Schedule
Author:
Lakshmi Krishnamurthy
  • Interface Summary
    Interface Description
    TradingTrajectory
    TradingTrajectory holds the Continuous/Discrete Trajectory of a Trading Block that is to be executed over a Discrete Time Set.
  • Class Summary
    Class Description
    ContinuousTradingTrajectory
    ContinuousTradingTrajectory holds the Continuous Trajectory of a Trading Block that is to be executed over the Specified Horizon.
    DiscreteTradingTrajectory
    DiscreteTradingTrajectory holds the Trajectory of a Trading Block that is to be executed over a Discrete Time Set.
    DiscreteTradingTrajectoryControl
    DiscreteTradingTrajectoryControl holds the Time Trajectory Control Settings of a Trading Block that is to be executed over a Discrete Time Sequence.
    MinimumImpactTradingTrajectory
    MinimumImpactTradingTrajectory holds the Trajectory of a Trading Block that is to be executed uniformly over Equal Intervals, the Idea being to minimize the Trading Impact.
    MinimumVarianceTradingTrajectory
    MinimumVarianceTradingTrajectory holds the Trajectory of a Trading Block that is to be executed in a Single Block, the Idea being to minimize the Trading Variance.
    OrderSpecification
    OrderSpecification contains the Parameters that constitute an Order, namely the Size and the Execution Time.