Package org.drip.sample.principal

Information Ratio Based Principal Trading
Author:
Lakshmi Krishnamurthy
  • Class Summary
    Class Description
    ImpactExponentAnalysis
    ImpactExponentAnalysis demonstrates the Analysis of the Dependence of the Optimal Principal Measures on the Exponent of the Temporary Market Impact.
    InformationRatioAnalysis
    InformationRatioAnalysis demonstrates the Analysis of the Dependence of the Optimal Principal Measures on the Information Ratio Hurdle.
    OptimalMeasuresConstantExponent
    OptimalMeasuresConstantExponent demonstrates the Dependence Exponents on Liquidity, Trade Size, and Permanent Impact Adjusted Principal Discount for the Optimal Principal Horizon and the Optional Information Ratio.
    OptimalMeasuresDiscountDependence
    OptimalMeasuresDiscountDependence demonstrates the Dependence of the Optimal Principal Measures on the Discount.
    OptimalMeasuresReconciler
    OptimalMeasuresReconciler reconciles the Dependence Exponents on Liquidity, Trade Size, and Permanent Impact Adjusted Principal Discount for the Optimal Principal Horizon and the Optional Information Ratio with Almgren and Chriss (2003).
    OptimalTrajectoryMeasures
    OptimalTrajectoryMeasures 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.