Package org.drip.sample.almgren2003

Almgren (2003) Power Law Liquidity
Author:
Lakshmi Krishnamurthy
  • Class Summary
    Class Description
    ConstantLiquidityVolatility
    ConstantLiquidityVolatility demonstrates the Dependence of the Optimal Trading Trajectory as a Function of Constant Trading Enhanced Volatilities.
    ConstantTradingEnhancedVolatility
    ConstantTradingEnhancedVolatility demonstrates the Generation of the Optimal Trading Trajectory under the Condition of Constant Trading Enhanced Volatility.
    ContinuousTrajectoryConcaveImpact
    ContinuousTrajectoryConcaveImpact reconciles the Characteristic Times of the Optimal Continuous Trading Trajectory resulting from the Application of the Almgren (2003) Scheme to a Concave Power Law Temporary Market Impact Function.
    ContinuousTrajectoryConvexImpact
    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.
    ContinuousTrajectoryLinearImpact
    ContinuousTrajectoryLinearImpact reconciles the Characteristic Times of the Optimal Continuous Trading Trajectory resulting from the Application of the Almgren (2003) Scheme to a Linear Power Law Temporary Market Impact Function.
    LinearLiquidityVolatility
    LinearLiquidityVolatility demonstrates the Dependence of the Optimal Trading Trajectory as a Function of Linear Trading Enhanced Volatilities.
    PowerLawOptimalTrajectory
    PowerLawOptimalTrajectory sketches out the Optimal Trajectories for 3 different values of k - representing Concave, Linear, and Convex Power's respectively.