Package org.drip.sample.almgren2012

Class RollingHorizonOptimalTradeRate

java.lang.Object
org.drip.sample.almgren2012.RollingHorizonOptimalTradeRate
public class RollingHorizonOptimalTradeRate
extends java.lang.Object
RollingHorizonOptimalTradeRate simulates the Trade Rate 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
    RollingHorizonOptimalTradeRate()  

  • 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

    • RollingHorizonOptimalTradeRate

      public RollingHorizonOptimalTradeRate()

  • 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