Package org.drip.sample.execution

Nonlinear Trading Enhanced Market Impact
Author:
Lakshmi Krishnamurthy
  • Class Summary
    Class Description
    AlmgrenConstantTradingEnhanced
    AlmgrenConstantTradingEnhanced demonstrates the Generation of the Optimal Trading Trajectory under the Condition of Constant Trading Enhanced Volatility using a Numerical Optimization Technique.
    AlmgrenLinearTradingEnhanced
    AlmgrenLinearTradingEnhanced demonstrates the Generation of the Optimal Trading Trajectory under the Condition of Linear Trading Enhanced Volatility using a Numerical Optimization Technique.
    ConcaveImpactNoDrift
    ConcaveImpactNoDrift generates the Trade/Holdings List of Optimal Execution Schedule based on the Concave Power Law Evolution Walk Parameters specified.
    LinearImpactNoDrift
    LinearImpactNoDrift generates the Trade/Holdings List of Optimal Execution Schedule based on the Evolution Walk Parameters specified.
    LinearImpactWithDrift
    LinearImpactWithDrift generates the Trade/Holdings List of Optimal Execution Schedule based on the Evolution Walk Parameters specified.