Package org.drip.sample.trend

Class BayesianDriftTransactionDependence

java.lang.Object
org.drip.sample.trend.BayesianDriftTransactionDependence
public class BayesianDriftTransactionDependence
extends java.lang.Object
BayesianDriftTransactionDependence demonstrates the Gains achieved from using an Optimal Trajectory for a Price Process as a Function of the Bayesian Drift Parameters. The References are:

  • Almgren, R., and N. Chriss (2000): Optimal Execution of Portfolio Transactions Journal of Risk 3 (2) 5-39
  • Almgren, R., and J. Lorenz (2006): Bayesian Adaptive Trading with a Daily Cycle Journal of Trading 1 (4) 38-46
  • Bertsimas, D., and A. W. Lo (1998): Optimal Control of Execution Costs Journal of Financial Markets 1 1-50
  • Brunnermeier, L. K., and L. H. Pedersen (2005): Predatory Trading Journal of Finance 60 (4) 1825-1863
  • Kissell, R., and R. Malamut (2007): Algorithmic Decision Making Framework Journal of Trading 1 (1) 12-21




Author:
Lakshmi Krishnamurthy

  • Constructor Summary

    Constructors
    Constructor Description
    BayesianDriftTransactionDependence()  

  • 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

    • BayesianDriftTransactionDependence

      public BayesianDriftTransactionDependence()

  • Method Details

    • main

      public static final 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