Package org.drip.sample.almgren2009

Class AdaptiveOptimalStaticTrajectory

java.lang.Object
org.drip.sample.almgren2009.AdaptiveOptimalStaticTrajectory
public class AdaptiveOptimalStaticTrajectory
extends java.lang.Object
AdaptiveOptimalStaticTrajectory determines the Outstanding Holdings and the Trade Rate from the "Mean Market State" Static Trajectory 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
    AdaptiveOptimalStaticTrajectory()  

  • 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

    • AdaptiveOptimalStaticTrajectory

      public AdaptiveOptimalStaticTrajectory()

  • 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