Package org.drip.sample.almgren2012

Almgren (2012) Dynamic Optimal Adaptive

Author:

Lakshmi Krishnamurthy

Class Summary

Class	Description
AdaptiveStaticInitialHoldings	AdaptiveStaticInitialHoldings simulates the Outstanding Holdings from the Sample Realization of the Adaptive Cost Strategy using the Market State Trajectory the follows the Zero Mean Ornstein-Uhlenbeck Evolution Dynamics.
AdaptiveStaticInitialTradeRate	AdaptiveStaticInitialTradeRate 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.
AdaptiveZeroInitialHoldings	AdaptiveZeroInitialHoldings simulates the Outstanding Holdings from the Sample Realization of the Adaptive Cost Strategy using the Market State Trajectory the follows the Zero Mean Ornstein-Uhlenbeck Evolution Dynamics.
AdaptiveZeroInitialTradeRate	AdaptiveZeroInitialTradeRate 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.
RollingHorizonOptimalHoldings	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.
RollingHorizonOptimalTradeRate	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.
StaticOptimalTrajectoryHoldings	StaticOptimalTrajectoryHoldings simulates the Outstanding Holdings from the Sample Realization of the Static Cost Strategy extracted using the Mean Market State that follows the Zero Mean Ornstein-Uhlenbeck Evolution Dynamics.
StaticOptimalTrajectoryTradeRate	StaticOptimalTrajectoryTradeRate simulates the Trade Rate from the Sample Realization of the Static Cost Strategy extracted using the Mean Market State that follows the Zero Mean Ornstein-Uhlenbeck Evolution Dynamics.