Package org.drip.sample.almgren2009

Class AdaptiveOptimalRollingHorizonTrajectory

java.lang.Object
org.drip.sample.almgren2009.AdaptiveOptimalRollingHorizonTrajectory
public class AdaptiveOptimalRollingHorizonTrajectory
extends java.lang.Object
AdaptiveOptimalRollingHorizonTrajectory simulates the Outstanding Holdings and the Trade Rate from the Sample Realization of the Rolling Horizon Approximation of the HJB Based Adaptive Cost Strategy using the Market State Trajectory the follows the Zero Mean Ornstein-Uhlenbeck Evolution Dynamics. The References are:

  • Almgren, R. F., and N. Chriss (2000): Optimal Execution of Portfolio Transactions Journal of Risk 3 (2) 5-39
  • Almgren, R. F. (2009): Optimal Trading in a Dynamic Market https://www.math.nyu.edu/financial_mathematics/content/02_financial/2009-2.pdf
  • Almgren, R. F. (2012): Optimal Trading with Stochastic Liquidity and Volatility SIAM Journal of Financial Mathematics 3 (1) 163-181
  • Geman, H., D. B. Madan, and M. Yor (2001): Time Changes for Levy Processes Mathematical Finance 11 (1) 79-96
  • Walia, N. (2006): Optimal Trading: Dynamic Stock Liquidation Strategies Princeton University




Author:
Lakshmi Krishnamurthy

  • Constructor Summary

    Constructors
    Constructor Description
    AdaptiveOptimalRollingHorizonTrajectory()  

  • 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

    • AdaptiveOptimalRollingHorizonTrajectory

      public AdaptiveOptimalRollingHorizonTrajectory()

  • 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