Package org.drip.sample.almgren2003

Class ContinuousTrajectoryConvexImpact

java.lang.Object
org.drip.sample.almgren2003.ContinuousTrajectoryConvexImpact
public class ContinuousTrajectoryConvexImpact
extends java.lang.Object
ContinuousTrajectoryConvexImpact reconciles the Characteristic Times of the Optimal Continuous Trading Trajectory resulting from the Application of the Almgren (2003) Scheme to a Convex Power Law Temporary Market Impact Function. The Power Exponent Considered here is k = 2.0 The References are:

  • Almgren, R., and N. Chriss (1999): Value under Liquidation Risk 12 (12)
  • Almgren, R., and N. Chriss (2000): Optimal Execution of Portfolio Transactions Journal of Risk 3 (2) 5-39
  • Almgren, R. (2003): Optimal Execution with Nonlinear Impact Functions and Trading-Enhanced Risk Applied Mathematical Finance 10 (1) 1-18.
  • Almgren, R., and N. Chriss (2003): Bidding Principles Risk 97-102
  • Bertsimas, D., and A. W. Lo (1998): Optimal Control of Execution Costs Journal of Financial Markets 1 1-50




Author:
Lakshmi Krishnamurthy

  • Constructor Summary

    Constructors
    Constructor Description
    ContinuousTrajectoryConvexImpact()  

  • Method Summary

    Modifier and Type Method Description
    static void main​(java.lang.String[] astrArgs)
    Entry Point

    Methods inherited from class java.lang.Object

    equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

  • Constructor Details

    • ContinuousTrajectoryConvexImpact

      public ContinuousTrajectoryConvexImpact()

  • Method Details

    • main

      public static final void main​(java.lang.String[] astrArgs) throws java.lang.Exception
      Entry Point
      Parameters:
      astrArgs - Command Line Argument Array
      Throws:
      java.lang.Exception - Thrown on Error/Exception Situation