Package org.drip.sample.almgren2012

Class RollingHorizonOptimalHoldings

java.lang.Object
org.drip.sample.almgren2012.RollingHorizonOptimalHoldings
public class RollingHorizonOptimalHoldings
extends java.lang.Object
RollingHorizonOptimalHoldings simulates the Holdings from the Sample Realization of the Adaptive Cost Strategy using the Market State Trajectory the follows the Zero Mean Ornstein-Uhlenbeck Evolution Dynamics. Instead of a HJB Based Truly Adaptive Strategy, a Rolling Horizon Approximation is used. 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
    RollingHorizonOptimalHoldings()  

  • 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

    • RollingHorizonOptimalHoldings

      public RollingHorizonOptimalHoldings()

  • 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