Package org.drip.sample.athl

Almgren-Thum-Hauptmann-Li Estimator

Author:

Lakshmi Krishnamurthy

Class Summary

Class	Description
EquityMarketImpactDRI	EquityMarketImpactDRI demonstrates the Reconciliation of the Equity Market Impact with that determined empirically by Almgren, Thum, Hauptmann, and Li (2005), using the Parameterization of Almgren (2003) for DRI.
EquityMarketImpactIBM	EquityMarketImpactIBM demonstrates the Reconciliation of the Equity Market Impact with that determined empirically by Almgren, Thum, Hauptmann, and Li (2005), using the Parameterization of Almgren (2003) for IBM.
OptimalTrajectoryDRI	OptimalTrajectoryDRI demonstrates the Trade Scheduling using the Equity Market Impact Functions determined empirically by Almgren, Thum, Hauptmann, and Li (2005), using the Parameterization of Almgren (2003) for DRI.
OptimalTrajectoryIBM	OptimalTrajectoryIBM demonstrates the Trade Scheduling using the Equity Market Impact Functions determined empirically by Almgren, Thum, Hauptmann, and Li (2005), using the Parameterization of Almgren (2003) for IBM.
OptimalTrajectoryTradeAnalysis	OptimalTrajectoryTradeAnalysis analyzes the Impact of Input Parameters on the Trade Scheduling using the Equity Market Impact Functions determined empirically by Almgren, Thum, Hauptmann, and Li (2005), using the Parameterization of Almgren (2003) for IBM.
OptimalTrajectoryVolatilityAnalysis	OptimalTrajectoryVolatilityAnalysis analyzes the Impact of Input Parameters on the Trade Scheduling using the Equity Market Impact Functions determined empirically by Almgren, Thum, Hauptmann, and Li (2005), using the Parameterization of Almgren (2003) for IBM.