Package org.drip.sample.almgrenchriss

Class TrajectoryComparisonWithDrift

java.lang.Object
org.drip.sample.almgrenchriss.TrajectoryComparisonWithDrift
public class TrajectoryComparisonWithDrift
extends java.lang.Object
TrajectoryComparisonWithDrift compares different Optimal Trading Trajectories computed in accordance with the Specification of Almgren and Chriss (2000) for a Set of Risk Aversion Parameters, inclusive of the Asset Drift. The References are:

  • Almgren, R., and N. Chriss (1999): Value under Liquidation Risk 12 (12)
  • Almgren, R., and N. Chriss (2000): Optimal Execution of Portfolio Transactions Journal of Risk 3 (2) 5-39
  • Bertsimas, D., and A. W. Lo (1998): Optimal Control of Execution Costs Journal of Financial Markets 1 1-50
  • Chan, L. K. C., and J. Lakonishak (1995): The Behavior of Stock Prices around Institutional Trades Journal of Finance 50 1147-1174
  • Keim, D. B., and A. Madhavan (1997): Transaction Costs and Investment Style: An Inter-exchange Analysis of Institutional Equity Trades Journal of Financial Economics 46 265-292




Author:
Lakshmi Krishnamurthy

  • Constructor Summary

    Constructors
    Constructor Description
    TrajectoryComparisonWithDrift()  

  • 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

    • TrajectoryComparisonWithDrift

      public TrajectoryComparisonWithDrift()

  • Method Details

    • main

      public static 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