|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 00:35:05 EST 2020
| Setup Time => Mon Jan 27 00:35:05 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
|---------------------------------------------||
| ALMGREN-CHRISS TRAJECTORY GENERATOR INPUTS ||
|---------------------------------------------||
| Initial Stock Price : 50.0
| Initial Holdings : 1000000.0
| Liquidation Time : 5.0
| Number of Time Periods : 5
| 30% Annual Volatility : 0.95
| 10% Annual Growth : 0.02
| Bid-Ask Spread = 1/8 : 0.0625
| Daily Volume 5 million Shares : 2.5E-7
| Impact at 1% of Market : 2.5E-6
|---------------------------------------------||
|------------------------------------------------------------||
| SHORT END COST DISTRIBUTION, PENALTY, AND DECAY ||
|------------------------------------------------------------||
| LAMBDA | MEAN | SIGMA^2 | PENALTY | HALFLIFE ||
|------------------------------------------------------------||
| [LAMBDA = 0.001] | 0.6625 | 1.0812 | 0.6636 | 51.30 ||
| [LAMBDA = 0.002] | 0.6625 | 1.0794 | 0.6647 | 36.27 ||
| [LAMBDA = 0.003] | 0.6625 | 1.0776 | 0.6657 | 29.62 ||
| [LAMBDA = 0.004] | 0.6625 | 1.0758 | 0.6668 | 25.65 ||
| [LAMBDA = 0.005] | 0.6625 | 1.0740 | 0.6679 | 22.94 ||
| [LAMBDA = 0.006] | 0.6625 | 1.0722 | 0.6690 | 20.94 ||
| [LAMBDA = 0.007] | 0.6625 | 1.0704 | 0.6700 | 19.39 ||
| [LAMBDA = 0.008] | 0.6626 | 1.0687 | 0.6711 | 18.14 ||
| [LAMBDA = 0.009] | 0.6626 | 1.0669 | 0.6722 | 17.10 ||
|------------------------------------------------------------||
|------------------------------------------------------------||
| LONG END COST DISTRIBUTION, PENALTY, AND DECAY ||
|------------------------------------------------------------||
| LAMBDA | MEAN | SIGMA^2 | PENALTY | HALFLIFE ||
|------------------------------------------------------------||
| [LAMBDA = 0.250] | 0.6996 | 0.7513 | 0.8875 | 3.26 ||
| [LAMBDA = 0.500] | 0.7681 | 0.5634 | 1.0498 | 2.31 ||
| [LAMBDA = 0.750] | 0.8412 | 0.4448 | 1.1748 | 1.89 ||
| [LAMBDA = 1.000] | 0.9112 | 0.3641 | 1.2754 | 1.65 ||
| [LAMBDA = 1.250] | 0.9761 | 0.3061 | 1.3588 | 1.48 ||
| [LAMBDA = 1.500] | 1.0358 | 0.2626 | 1.4296 | 1.35 ||
| [LAMBDA = 1.750] | 1.0904 | 0.2288 | 1.4909 | 1.26 ||
| [LAMBDA = 2.000] | 1.1407 | 0.2019 | 1.5446 | 1.18 ||
| [LAMBDA = 2.250] | 1.1871 | 0.1801 | 1.5922 | 1.12 ||
| [LAMBDA = 2.500] | 1.2300 | 0.1620 | 1.6349 | 1.06 ||
| [LAMBDA = 2.750] | 1.2699 | 0.1468 | 1.6735 | 1.02 ||
| [LAMBDA = 3.000] | 1.3071 | 0.1338 | 1.7085 | 0.98 ||
| [LAMBDA = 3.250] | 1.3418 | 0.1227 | 1.7405 | 0.94 ||
| [LAMBDA = 3.500] | 1.3745 | 0.1130 | 1.7700 | 0.91 ||
| [LAMBDA = 3.750] | 1.4052 | 0.1045 | 1.7971 | 0.88 ||
| [LAMBDA = 4.000] | 1.4341 | 0.0970 | 1.8223 | 0.86 ||
|------------------------------------------------------------||
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 00:35:05 EST 2020
| Setup Time => Mon Jan 27 00:35:05 EST 2020
| Finish Time => Mon Jan 27 00:35:05 EST 2020
| Setup Duration => 1 ms
| Run Duration => 87 ms
|-----------------------------------------------------------------|
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 00:35:05 EST 2020
| Setup Time => Mon Jan 27 00:35:05 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
|---------------------------------------------||
| ALMGREN-CHRISS TRAJECTORY GENERATOR INPUTS ||
|---------------------------------------------||
| Initial Stock Price : 50.0
| Initial Holdings : 1000000.0
| Liquidation Time : 5.0
| Number of Time Periods : 5
| 30% Annual Volatility : 0.95
| 10% Annual Growth : 0.02
| Bid-Ask Spread = 1/8 : 0.0625
| Daily Volume 5 million Shares : 2.5E-7
| Impact at 1% of Market : 2.5E-6
|---------------------------------------------||
|------------------------------------------------------------||
| SHORT END COST DISTRIBUTION, PENALTY, AND DECAY ||
|------------------------------------------------------------||
| LAMBDA | MEAN | SIGMA^2 | PENALTY | HALFLIFE ||
|------------------------------------------------------------||
| [LAMBDA = 0.001] | 0.6221 | 1.1195 | 0.6232 | 51.30 ||
| [LAMBDA = 0.002] | 0.6221 | 1.1177 | 0.6243 | 36.27 ||
| [LAMBDA = 0.003] | 0.6221 | 1.1158 | 0.6254 | 29.62 ||
| [LAMBDA = 0.004] | 0.6221 | 1.1139 | 0.6265 | 25.65 ||
| [LAMBDA = 0.005] | 0.6221 | 1.1120 | 0.6277 | 22.94 ||
| [LAMBDA = 0.006] | 0.6221 | 1.1102 | 0.6288 | 20.94 ||
| [LAMBDA = 0.007] | 0.6221 | 1.1083 | 0.6299 | 19.39 ||
| [LAMBDA = 0.008] | 0.6221 | 1.1065 | 0.6310 | 18.14 ||
| [LAMBDA = 0.009] | 0.6222 | 1.1047 | 0.6321 | 17.10 ||
|------------------------------------------------------------||
|------------------------------------------------------------||
| LONG END COST DISTRIBUTION, PENALTY, AND DECAY ||
|------------------------------------------------------------||
| LAMBDA | MEAN | SIGMA^2 | PENALTY | HALFLIFE ||
|------------------------------------------------------------||
| [LAMBDA = 0.250] | 0.6607 | 0.7761 | 0.8547 | 3.26 ||
| [LAMBDA = 0.500] | 0.7319 | 0.5807 | 1.0223 | 2.31 ||
| [LAMBDA = 0.750] | 0.8078 | 0.4576 | 1.1510 | 1.89 ||
| [LAMBDA = 1.000] | 0.8804 | 0.3739 | 1.2543 | 1.65 ||
| [LAMBDA = 1.250] | 0.9475 | 0.3139 | 1.3399 | 1.48 ||
| [LAMBDA = 1.500] | 1.0091 | 0.2689 | 1.4125 | 1.35 ||
| [LAMBDA = 1.750] | 1.0656 | 0.2341 | 1.4752 | 1.26 ||
| [LAMBDA = 2.000] | 1.1174 | 0.2064 | 1.5301 | 1.18 ||
| [LAMBDA = 2.250] | 1.1651 | 0.1839 | 1.5788 | 1.12 ||
| [LAMBDA = 2.500] | 1.2092 | 0.1653 | 1.6224 | 1.06 ||
| [LAMBDA = 2.750] | 1.2502 | 0.1496 | 1.6617 | 1.02 ||
| [LAMBDA = 3.000] | 1.2883 | 0.1364 | 1.6974 | 0.98 ||
| [LAMBDA = 3.250] | 1.3240 | 0.1249 | 1.7300 | 0.94 ||
| [LAMBDA = 3.500] | 1.3574 | 0.1150 | 1.7600 | 0.91 ||
| [LAMBDA = 3.750] | 1.3888 | 0.1064 | 1.7877 | 0.88 ||
| [LAMBDA = 4.000] | 1.4184 | 0.0987 | 1.8133 | 0.86 ||
|------------------------------------------------------------||
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 00:35:05 EST 2020
| Setup Time => Mon Jan 27 00:35:05 EST 2020
| Finish Time => Mon Jan 27 00:35:05 EST 2020
| Setup Duration => 1 ms
| Run Duration => 45 ms
|-----------------------------------------------------------------|
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 00:35:05 EST 2020
| Setup Time => Mon Jan 27 00:35:05 EST 2020
| Setup Duration => 9 ms
|-----------------------------------------------------------------|
|---------------------------------------------||
| ALMGREN-CHRISS TRAJECTORY GENERATOR INPUTS ||
|---------------------------------------------||
| Initial Stock Price : 50.0
| Initial Holdings : 1000000.0
| Liquidation Time : 5.0
| Number of Time Periods : 5
| Annual Volatility : 30%
| Annual Growth : 10%
| Bid-Ask Spread : 0.125
| Daily Volume : 5000000.0
| Daily Volume Temporary Impact : 0.01
| Daily Volume Permanent Impact : 0.1
| Daily Volume 5 million Shares : 2.5E-7
| Static Holdings 11,000 Shares : 1.0E-6
|
| Daily Volatility : 0.9487
| Daily Returns : 0.0200
| Temporary Impact Fixed Offset : 0.0625
| Eta : 2.5E-6
| Gamma : 2.5E-7
|---------------------------------------------||
|-------------------------------------------------||
| AC2000 Optimal Trajectory ||
| ------ ------- ---------- ||
| L -> R: ||
| Time Node ||
| Holdings ||
| Trade Amount ||
| Holdings Serial Correlation Adjustment ||
| Trade Amount Serial Correlation Adjustment ||
|-------------------------------------------------||
| 0 => 1000000.0 | 000000.0 | 00000.0 | 000.0 ||
| 1 => 0542380.7 | -457619.3 | 18973.7 | 900.0 ||
| 2 => 0290295.1 | -252085.6 | 18973.7 | 900.0 ||
| 3 => 0148216.1 | -142079.0 | 18973.7 | 900.0 ||
| 4 => 0062303.2 | -085912.9 | 18973.7 | 900.0 ||
| 5 => 0000000.0 | -062303.2 | 18973.7 | 900.0 ||
|-------------------------------------------------||
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 00:35:05 EST 2020
| Setup Time => Mon Jan 27 00:35:05 EST 2020
| Finish Time => Mon Jan 27 00:35:05 EST 2020
| Setup Duration => 9 ms
| Run Duration => 24 ms
|-----------------------------------------------------------------|
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 00:35:05 EST 2020
| Setup Time => Mon Jan 27 00:35:05 EST 2020
| Setup Duration => 2 ms
|-----------------------------------------------------------------|
|---------------------------------------------||
| ALMGREN-CHRISS TRAJECTORY GENERATOR INPUTS ||
|---------------------------------------------||
| Initial Stock Price : 50.0
| Initial Holdings : 1000000.0
| Liquidation Time : 5.0
| Number of Time Periods : 5
| Annual Volatility : 30%
| Annual Growth : 10%
| Bid-Ask Spread : 0.125
| Daily Volume : 5000000.0
| Daily Volume Temporary Impact : 0.01
| Daily Volume Permanent Impact : 0.1
| Daily Volume 5 million Shares : 2.5E-7
| Static Holdings 11,000 Shares : 1.0E-6
|
| Daily Volatility : 0.9487
| Daily Returns : 0.0200
| Temporary Impact Fixed Offset : 0.0625
| Eta : 2.5E-6
| Gamma : 2.5E-7
|---------------------------------------------||
|-----------------------------||
| AC2000 Optimal Trajectory ||
| ------ ------- ---------- ||
| L -> R: ||
| Time Node ||
| Holdings ||
| Trade Amount ||
|-----------------------------||
| 0 => 1000000.0 | 000000.0 ||
| 1 => 0542380.7 | -457619.3 ||
| 2 => 0290295.1 | -252085.6 ||
| 3 => 0148216.1 | -142079.0 ||
| 4 => 0062303.2 | -085912.9 ||
| 5 => 0000000.0 | -062303.2 ||
|-----------------------------||
|-----------------------------------------------------------||
| PERIOD LEVEL COST DISTRIBUTION ||
|-----------------------------------------------------------||
| PERIOD | MEAN | VARIANCE ||
|-----------------------------------------------------------||
| PERIOD | INCR | CUML | INCR | CUML ||
|-----------------------------------------------------------||
| PERIOD #1 | 614190.8 | 614190.8 | 264759.1 | 264759.1 ||
| PERIOD #2 | 192918.0 | 807108.7 | 075844.1 | 340603.3 ||
| PERIOD #3 | 064610.6 | 871719.4 | 019771.2 | 360374.5 ||
| PERIOD #4 | 025160.3 | 896879.7 | 003493.5 | 363868.0 ||
| PERIOD #5 | 013598.2 | 910477.8 | 000000.0 | 363868.0 ||
|-----------------------------------------------------------||
|-----------------------------------------------------------||
| PERIOD LEVEL COST IMPACT CONTRIBUTION ||
|-----------------------------------------------------------||
| PERIOD | PERMANENT | TEMPORARY ||
|-----------------------------------------------------------||
| PERIOD | INCR | CUML | INCR | CUML ||
|-----------------------------------------------------------||
| PERIOD #1 | 062051.0 | 062051.0 | 552139.8 | 552139.8 ||
| PERIOD #2 | 018294.8 | 080345.8 | 174623.2 | 726763.0 ||
| PERIOD #3 | 005264.6 | 085610.4 | 059346.0 | 786109.0 ||
| PERIOD #4 | 001338.2 | 086948.5 | 023822.1 | 809931.1 ||
| PERIOD #5 | 000000.0 | 086948.5 | 013598.2 | 823529.3 ||
|-----------------------------------------------------------||
|--------------------------------------------------------------||
| TRANSACTION COST RECONCILIATION: AC2000 vs. EXPLICIT LINEAR ||
|--------------------------------------------------------------||
| Transaction Cost Expectation : 910477.8 | 910477.8 ||
| Transaction Cost Variance (X 10^-06) : 363868.0 | 363868.0 ||
|--------------------------------------------------------------||
|-----------------------||
| AC2000 METRICS DUMP ||
|-----------------------||
| Kappa : 0.6063 ||
| Kappa Tilda : 0.6156 ||
| Half Life : 1.6495 ||
| Market Power: 89442.7191 ||
|-----------------------||
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 00:35:05 EST 2020
| Setup Time => Mon Jan 27 00:35:05 EST 2020
| Finish Time => Mon Jan 27 00:35:05 EST 2020
| Setup Duration => 2 ms
| Run Duration => 16 ms
|-----------------------------------------------------------------|
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 00:35:05 EST 2020
| Setup Time => Mon Jan 27 00:35:05 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
|---------------------------------------------||
| ALMGREN-CHRISS TRAJECTORY GENERATOR INPUTS ||
|---------------------------------------------||
| Initial Stock Price : 50.0
| Initial Holdings : 1000000.0
| Liquidation Time : 5.0
| Number of Time Periods : 5
| Annual Volatility : 30%
| Annual Growth : 10%
| Bid-Ask Spread : 0.125
| Daily Volume : 5000000.0
| Daily Volume Temporary Impact : 0.01
| Daily Volume Permanent Impact : 0.1
| Daily Volume 5 million Shares : 2.5E-7
| Static Holdings 11,000 Shares : 1.0E-6
|
| Daily Volatility : 0.9487
| Daily Returns : 0.0200
| Temporary Impact Fixed Offset : 0.0625
| Eta : 2.5E-6
| Gamma : 2.5E-7
|---------------------------------------------||
|-------------------------------------------------||
| AC2000 Optimal Trajectory ||
| ------ ------- ---------- ||
| L -> R: ||
| Time Node ||
| Holdings ||
| Trade Amount ||
| Holdings Drift Adjustment ||
| Trade Amount Drift Adjustment ||
|-------------------------------------------------||
| 0 => 1000000.0 | 000000.0 | 0000.0 | 0000.0 ||
| 1 => 0546773.1 | -453226.9 | 4392.4 | 4392.4 ||
| 2 => 0296533.9 | -250239.2 | 6238.8 | 1846.4 ||
| 3 => 0154454.9 | -142079.0 | 6238.8 | -0000.0 ||
| 4 => 0066695.6 | -087759.2 | 4392.4 | -1846.4 ||
| 5 => 0000000.0 | -066695.6 | 0000.0 | -4392.4 ||
|-------------------------------------------------||
|-----------------------------------------------------------||
| PERIOD LEVEL COST DISTRIBUTION ||
|-----------------------------------------------------------||
| PERIOD | MEAN | VARIANCE ||
|-----------------------------------------------------------||
| PERIOD | INCR | CUML | INCR | CUML ||
|-----------------------------------------------------------||
| PERIOD #1 | 592880.9 | 592880.9 | 269064.7 | 269064.7 ||
| PERIOD #2 | 184809.5 | 777690.4 | 079139.1 | 348203.8 ||
| PERIOD #3 | 061743.1 | 839433.5 | 021470.7 | 369674.5 ||
| PERIOD #4 | 024868.5 | 864302.1 | 004003.5 | 373678.0 ||
| PERIOD #5 | 015289.2 | 879591.3 | 000000.0 | 373678.0 ||
|-----------------------------------------------------------||
|-----------------------------------------------------------||
| PERIOD LEVEL COST IMPACT CONTRIBUTION ||
|-----------------------------------------------------------||
| PERIOD | PERMANENT | TEMPORARY ||
|-----------------------------------------------------------||
| PERIOD | INCR | CUML | INCR | CUML ||
|-----------------------------------------------------------||
| PERIOD #1 | 061953.1 | 061953.1 | 541863.3 | 541863.3 ||
| PERIOD #2 | 018551.1 | 080504.2 | 172189.1 | 714052.4 ||
| PERIOD #3 | 005486.2 | 085990.4 | 059346.0 | 773398.4 ||
| PERIOD #4 | 001463.3 | 087453.7 | 024739.2 | 798137.6 ||
| PERIOD #5 | 000000.0 | 087453.7 | 015289.2 | 813426.8 ||
|-----------------------------------------------------------||
|--------------------------------------------------------------||
| TRANSACTION COST RECONCILIATION: AC2000 vs. EXPLICIT LINEAR ||
|--------------------------------------------------------------||
| Transaction Cost Expectation : 879591.3 | 879591.3 ||
| Transaction Cost Variance (X 10^-06) : 373678.0 | 373678.0 ||
|--------------------------------------------------------------||
|---------------------------------||
| AC2000 METRICS DUMP ||
|---------------------------------||
| Kappa : 0.606 ||
| Kappa Tilda : 0.616 ||
| Half Life : 1.649 ||
| Residual Holdings : 11111 ||
| Drift Gain Upper Bound : 425.2 ||
|---------------------------------||
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 00:35:05 EST 2020
| Setup Time => Mon Jan 27 00:35:05 EST 2020
| Finish Time => Mon Jan 27 00:35:05 EST 2020
| Setup Duration => 1 ms
| Run Duration => 8 ms
|-----------------------------------------------------------------|
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 00:35:05 EST 2020
| Setup Time => Mon Jan 27 00:35:05 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
|---------------------------------------------||
| ALMGREN-CHRISS TRAJECTORY GENERATOR INPUTS ||
|---------------------------------------------||
| Initial Stock Price : 50.0
| Initial Holdings : 1000000.0
| Liquidation Time : 5.0
| Number of Time Periods : 5
| Annual Volatility : 30%
| Annual Growth : 10%
| Bid-Ask Spread : 0.125
| Daily Volume : 5000000.0
| Daily Volume Temporary Impact : 0.01
| Daily Volume Permanent Impact : 0.1
| Daily Volume 5 million Shares : 2.5E-7
|
| Daily Volatility : 0.9487
| Daily Returns : 0.0200
| Temporary Impact Fixed Offset : 0.0625
| Eta : 2.5E-6
| Gamma : 2.5E-7
|---------------------------------------------||
|--------------------------------------------------------------------------------||
| OPTIMAL TRADING TRAJECTORY FOR DIFFERENT RISK AVERSION ||
|--------------------------------------------------------------------------------||
| [LAMBDA = 0.001] | 100.000 | 79.955 | 59.939 | 39.947 | 19.970 | 00.000 ||
| [LAMBDA = 0.250] | 100.000 | 70.550 | 47.784 | 29.545 | 14.104 | 00.000 ||
| [LAMBDA = 0.500] | 100.000 | 63.724 | 39.522 | 22.809 | 10.418 | 00.000 ||
| [LAMBDA = 0.750] | 100.000 | 58.467 | 33.551 | 18.171 | 07.955 | 00.000 ||
| [LAMBDA = 1.000] | 100.000 | 54.238 | 29.030 | 14.822 | 06.230 | 00.000 ||
| [LAMBDA = 1.250] | 100.000 | 50.728 | 25.486 | 12.315 | 04.979 | 00.000 ||
| [LAMBDA = 1.500] | 100.000 | 47.747 | 22.634 | 10.387 | 04.044 | 00.000 ||
| [LAMBDA = 1.750] | 100.000 | 45.169 | 20.291 | 08.870 | 03.331 | 00.000 ||
| [LAMBDA = 2.000] | 100.000 | 42.907 | 18.333 | 07.654 | 02.775 | 00.000 ||
| [LAMBDA = 2.250] | 100.000 | 40.900 | 16.674 | 06.664 | 02.336 | 00.000 ||
| [LAMBDA = 2.500] | 100.000 | 39.103 | 15.251 | 05.848 | 01.984 | 00.000 ||
| [LAMBDA = 2.750] | 100.000 | 37.480 | 14.019 | 05.167 | 01.698 | 00.000 ||
| [LAMBDA = 3.000] | 100.000 | 36.005 | 12.942 | 04.593 | 01.464 | 00.000 ||
| [LAMBDA = 3.250] | 100.000 | 34.656 | 11.994 | 04.105 | 01.270 | 00.000 ||
| [LAMBDA = 3.500] | 100.000 | 33.417 | 11.154 | 03.687 | 01.108 | 00.000 ||
| [LAMBDA = 3.750] | 100.000 | 32.272 | 10.406 | 03.326 | 00.972 | 00.000 ||
| [LAMBDA = 4.000] | 100.000 | 31.212 | 09.734 | 03.013 | 00.857 | 00.000 ||
|--------------------------------------------------------------------------------||
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 00:35:05 EST 2020
| Setup Time => Mon Jan 27 00:35:05 EST 2020
| Finish Time => Mon Jan 27 00:35:05 EST 2020
| Setup Duration => 1 ms
| Run Duration => 8 ms
|-----------------------------------------------------------------|
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 00:35:05 EST 2020
| Setup Time => Mon Jan 27 00:35:05 EST 2020
| Setup Duration => 2 ms
|-----------------------------------------------------------------|
|---------------------------------------------||
| ALMGREN-CHRISS TRAJECTORY GENERATOR INPUTS ||
|---------------------------------------------||
| Initial Stock Price : 50.0
| Initial Holdings : 1000000.0
| Liquidation Time : 5.0
| Number of Time Periods : 5
| Annual Volatility : 30%
| Annual Growth : 10%
| Bid-Ask Spread : 0.125
| Daily Volume : 5000000.0
| Daily Volume Temporary Impact : 0.01
| Daily Volume Permanent Impact : 0.1
| Daily Volume 5 million Shares : 2.5E-7
|
| Daily Volatility : 0.9487
| Daily Returns : 0.0200
| Temporary Impact Fixed Offset : 0.0625
| Eta : 2.5E-6
| Gamma : 2.5E-7
|---------------------------------------------||
|--------------------------------------------------------------------------------||
| OPTIMAL TRADING TRAJECTORY FOR DIFFERENT RISK AVERSION ||
|--------------------------------------------------------------------------------||
| [LAMBDA = 0.001] | 100.000 | 80.796 | 61.201 | 41.209 | 20.811 | 00.000 ||
| [LAMBDA = 0.250] | 100.000 | 71.232 | 48.791 | 30.552 | 14.786 | 00.000 ||
| [LAMBDA = 0.500] | 100.000 | 64.299 | 40.360 | 23.646 | 10.992 | 00.000 ||
| [LAMBDA = 0.750] | 100.000 | 58.965 | 34.266 | 18.886 | 08.452 | 00.000 ||
| [LAMBDA = 1.000] | 100.000 | 54.677 | 29.653 | 15.445 | 06.670 | 00.000 ||
| [LAMBDA = 1.250] | 100.000 | 51.122 | 26.039 | 12.868 | 05.372 | 00.000 ||
| [LAMBDA = 1.500] | 100.000 | 48.104 | 23.130 | 10.883 | 04.401 | 00.000 ||
| [LAMBDA = 1.750] | 100.000 | 45.496 | 20.741 | 09.320 | 03.658 | 00.000 ||
| [LAMBDA = 2.000] | 100.000 | 43.209 | 18.744 | 08.065 | 03.077 | 00.000 ||
| [LAMBDA = 2.250] | 100.000 | 41.181 | 17.052 | 07.043 | 02.616 | 00.000 ||
| [LAMBDA = 2.500] | 100.000 | 39.365 | 15.602 | 06.198 | 02.246 | 00.000 ||
| [LAMBDA = 2.750] | 100.000 | 37.726 | 14.345 | 05.493 | 01.944 | 00.000 ||
| [LAMBDA = 3.000] | 100.000 | 36.237 | 13.248 | 04.898 | 01.696 | 00.000 ||
| [LAMBDA = 3.250] | 100.000 | 34.875 | 12.281 | 04.392 | 01.489 | 00.000 ||
| [LAMBDA = 3.500] | 100.000 | 33.625 | 11.425 | 03.957 | 01.316 | 00.000 ||
| [LAMBDA = 3.750] | 100.000 | 32.470 | 10.661 | 03.581 | 01.170 | 00.000 ||
| [LAMBDA = 4.000] | 100.000 | 31.401 | 09.977 | 03.255 | 01.046 | 00.000 ||
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| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 00:35:05 EST 2020
| Setup Time => Mon Jan 27 00:35:05 EST 2020
| Finish Time => Mon Jan 27 00:35:05 EST 2020
| Setup Duration => 2 ms
| Run Duration => 9 ms
|-----------------------------------------------------------------|