Package org.drip.sample.almgren2009

Almgren (2009) Optimal Adaptive HJB
Author:
Lakshmi Krishnamurthy
  • Class Summary
    Class Description
    AdaptiveOptimalCostTrajectory
    AdaptiveOptimalCostTrajectory traces a Sample Realization of the Adaptive Cost Strategy using the Market State Trajectory the follows the Zero Mean Ornstein-Uhlenbeck Evolution Dynamics.
    AdaptiveOptimalHJBTrajectory
    AdaptiveOptimalHJBTrajectory simulates the Outstanding Holdings and the Trade Rate from the Sample Realization of the HJB Based Adaptive Cost Strategy using the Market State Trajectory the follows the Zero Mean Ornstein-Uhlenbeck Evolution Dynamics.
    AdaptiveOptimalRollingHorizonTrajectory
    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.
    AdaptiveOptimalStaticTrajectory
    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.
    CoordinatedMarketStateTrajectory
    CoordinatedMarketStateTrajectory traces a Sample Realization of the Market State Trajectory the follows the Zero Mean Ornstein-Uhlenbeck Evolution Dynamics.
    EnhancedEulerScheme
    EnhancedEulerScheme demonstrates the Enhancement used by Almgren (2009, 2012) to deal with Time Evolution under Singular Initial Conditions.
    HighUrgencyTrajectoryComparison
    HighUrgencyTrajectoryComparison compares the Static Continuous Trading Trajectory generated by the Almgren and Chriss (2012) Scheme against the High Urgency Asymptote Version.
    LowUrgencyTrajectoryComparison
    LowUrgencyTrajectoryComparison compares the Static Continuous Trading Trajectory generated by the Almgren and Chriss (2012) Scheme against the Low Urgency Asymptote Version.
    StaticContinuousOptimalTrajectory
    StaticContinuousOptimalTrajectory demonstrates the Generation and Usage of Continuous Version of the Discrete Trading Trajectory generated by the Almgren and Chriss (2000) Scheme under the Criterion of No-Drift.