Package org.drip.sample.almgrenchriss

Almgren Chriss Efficient Frontier Trajectories
Author:
Lakshmi Krishnamurthy
  • Class Summary
    Class Description
    EfficientFrontierNoDrift
    EfficientFrontierNoDrift constructs the Efficient Frontier over a Sequence of Risk Aversion Parameters for Optimal Trading Trajectories computed in accordance with the Specification of Almgren and Chriss (2000), and calculates the corresponding Execution Half Life and the Trajectory Penalty without regard to the Drift.
    EfficientFrontierWithDrift
    EfficientFrontierWithDrift constructs the Efficient Frontier over a Sequence of Risk Aversion Parameters for Optimal Trading Trajectories computed in accordance with the Specification of Almgren and Chriss (2000), and calculates the corresponding Execution Half Life and the Trajectory Penalty incorporating the Impact of Drift.
    OptimalSerialCorrelationImpact
    OptimalSerialCorrelationImpact estimates the Optimal Adjustment to the Optimal Trading Trajectory attributable to Serial Correlation in accordance with the Specification of Almgren and Chriss (2000) for the given Risk Aversion Parameter without the Asset Drift.
    OptimalTrajectoryNoDrift
    OptimalTrajectoryNoDrift demonstrates the Generation of the Optimal Trading Trajectory in accordance with the Specification of Almgren and Chriss (2000) for the given Risk Aversion Parameter without the Asset Drift.
    OptimalTrajectoryWithDrift
    OptimalTrajectoryWithDrift demonstrates the Generation of the Optimal Trading Trajectory in accordance with the Specification of Almgren and Chriss (2000) for the given Risk Aversion Parameter inclusive of the Asset Drift.
    TrajectoryComparisonNoDrift
    TrajectoryComparisonNoDrift compares different Optimal Trading Trajectories computed in accordance with the Specification of Almgren and Chriss (2000) for a Set of Risk Aversion Parameters, excluding the Asset Drift.
    TrajectoryComparisonWithDrift
    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.