|-----------------------------------------------------------------|
| 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
|-----------------------------------------------------------------|
|------------------------------------------------||
| NUMERICAL - CLOSED FORM CONTINUOUS TRAJECTORY ||
|------------------------------------------------||
| L -> R: ||
| - Execution Time Node ||
| - Holdings (Numerical) ||
| - Holdings (Continuous Closed Form) ||
| - Trade List (Numerical) ||
| - Trade List (Continuous Closed Form) ||
|------------------------------------------------||
| 0.01 => 98.60% | 99.19% | -01.40% | -00.81% ||
| 0.02 => 97.21% | 98.38% | -01.38% | -00.81% ||
| 0.03 => 95.85% | 97.58% | -01.36% | -00.80% ||
| 0.04 => 94.50% | 96.79% | -01.35% | -00.79% ||
| 0.05 => 93.17% | 96.00% | -01.33% | -00.79% ||
| 0.06 => 91.87% | 95.22% | -01.31% | -00.78% ||
| 0.07 => 90.58% | 94.44% | -01.29% | -00.77% ||
| 0.08 => 89.30% | 93.68% | -01.27% | -00.77% ||
| 0.09 => 88.05% | 92.92% | -01.25% | -00.76% ||
| 0.10 => 86.81% | 92.16% | -01.24% | -00.76% ||
| 0.11 => 85.59% | 91.41% | -01.22% | -00.75% ||
| 0.12 => 84.39% | 90.67% | -01.20% | -00.74% ||
| 0.13 => 83.21% | 89.93% | -01.18% | -00.74% ||
| 0.14 => 82.04% | 89.20% | -01.17% | -00.73% ||
| 0.15 => 80.89% | 88.47% | -01.15% | -00.73% ||
| 0.16 => 79.75% | 87.75% | -01.14% | -00.72% ||
| 0.17 => 78.63% | 87.04% | -01.12% | -00.71% ||
| 0.18 => 77.53% | 86.33% | -01.10% | -00.71% ||
| 0.19 => 76.44% | 85.63% | -01.09% | -00.70% ||
| 0.20 => 75.37% | 84.93% | -01.07% | -00.70% ||
| 0.21 => 74.31% | 84.24% | -01.06% | -00.69% ||
| 0.22 => 73.26% | 83.56% | -01.04% | -00.69% ||
| 0.23 => 72.24% | 82.88% | -01.03% | -00.68% ||
| 0.24 => 71.22% | 82.20% | -01.01% | -00.67% ||
| 0.25 => 70.22% | 81.54% | -01.00% | -00.67% ||
| 0.26 => 69.24% | 80.87% | -00.99% | -00.66% ||
| 0.27 => 68.26% | 80.22% | -00.97% | -00.66% ||
| 0.28 => 67.30% | 79.56% | -00.96% | -00.65% ||
| 0.29 => 66.36% | 78.92% | -00.95% | -00.65% ||
| 0.30 => 65.43% | 78.27% | -00.93% | -00.64% ||
| 0.31 => 64.51% | 77.64% | -00.92% | -00.64% ||
| 0.32 => 63.60% | 77.01% | -00.91% | -00.63% ||
| 0.33 => 62.71% | 76.38% | -00.89% | -00.63% ||
| 0.34 => 61.83% | 75.76% | -00.88% | -00.62% ||
| 0.35 => 60.96% | 75.14% | -00.87% | -00.62% ||
| 0.36 => 60.11% | 74.53% | -00.86% | -00.61% ||
| 0.37 => 59.26% | 73.93% | -00.84% | -00.61% ||
| 0.38 => 58.43% | 73.32% | -00.83% | -00.60% ||
| 0.39 => 57.61% | 72.73% | -00.82% | -00.60% ||
| 0.40 => 56.80% | 72.14% | -00.81% | -00.59% ||
| 0.41 => 56.00% | 71.55% | -00.80% | -00.59% ||
| 0.42 => 55.22% | 70.97% | -00.79% | -00.58% ||
| 0.43 => 54.44% | 70.39% | -00.78% | -00.58% ||
| 0.44 => 53.68% | 69.82% | -00.76% | -00.57% ||
| 0.45 => 52.92% | 69.25% | -00.75% | -00.57% ||
| 0.46 => 52.18% | 68.69% | -00.74% | -00.56% ||
| 0.47 => 51.45% | 68.13% | -00.73% | -00.56% ||
| 0.48 => 50.73% | 67.58% | -00.72% | -00.55% ||
| 0.49 => 50.01% | 67.03% | -00.71% | -00.55% ||
| 0.50 => 49.31% | 66.48% | -00.70% | -00.55% ||
| 0.51 => 48.62% | 65.94% | -00.69% | -00.54% ||
| 0.52 => 47.94% | 65.40% | -00.68% | -00.54% ||
| 0.53 => 47.26% | 64.87% | -00.67% | -00.53% ||
| 0.54 => 46.60% | 64.35% | -00.66% | -00.53% ||
| 0.55 => 45.94% | 63.82% | -00.65% | -00.52% ||
| 0.56 => 45.30% | 63.30% | -00.65% | -00.52% ||
| 0.57 => 44.66% | 62.79% | -00.64% | -00.51% ||
| 0.58 => 44.04% | 62.28% | -00.63% | -00.51% ||
| 0.59 => 43.42% | 61.77% | -00.62% | -00.51% ||
| 0.60 => 42.81% | 61.27% | -00.61% | -00.50% ||
| 0.61 => 42.21% | 60.77% | -00.60% | -00.50% ||
| 0.62 => 41.61% | 60.28% | -00.59% | -00.49% ||
| 0.63 => 41.03% | 59.79% | -00.58% | -00.49% ||
| 0.64 => 40.45% | 59.30% | -00.58% | -00.49% ||
| 0.65 => 39.89% | 58.82% | -00.57% | -00.48% ||
| 0.66 => 39.33% | 58.34% | -00.56% | -00.48% ||
| 0.67 => 38.77% | 57.87% | -00.55% | -00.47% ||
| 0.68 => 38.23% | 57.39% | -00.54% | -00.47% ||
| 0.69 => 37.69% | 56.93% | -00.54% | -00.47% ||
| 0.70 => 37.16% | 56.47% | -00.53% | -00.46% ||
| 0.71 => 36.64% | 56.01% | -00.52% | -00.46% ||
| 0.72 => 36.13% | 55.55% | -00.51% | -00.46% ||
| 0.73 => 35.62% | 55.10% | -00.51% | -00.45% ||
| 0.74 => 35.12% | 54.65% | -00.50% | -00.45% ||
| 0.75 => 34.63% | 54.21% | -00.49% | -00.44% ||
| 0.76 => 34.14% | 53.77% | -00.49% | -00.44% ||
| 0.77 => 33.66% | 53.33% | -00.48% | -00.44% ||
| 0.78 => 33.19% | 52.89% | -00.47% | -00.43% ||
| 0.79 => 32.72% | 52.46% | -00.47% | -00.43% ||
| 0.80 => 32.26% | 52.04% | -00.46% | -00.43% ||
| 0.81 => 31.81% | 51.61% | -00.45% | -00.42% ||
| 0.82 => 31.36% | 51.20% | -00.45% | -00.42% ||
| 0.83 => 30.92% | 50.78% | -00.44% | -00.42% ||
| 0.84 => 30.49% | 50.37% | -00.43% | -00.41% ||
| 0.85 => 30.06% | 49.96% | -00.43% | -00.41% ||
| 0.86 => 29.64% | 49.55% | -00.42% | -00.41% ||
| 0.87 => 29.22% | 49.15% | -00.42% | -00.40% ||
| 0.88 => 28.81% | 48.75% | -00.41% | -00.40% ||
| 0.89 => 28.41% | 48.35% | -00.40% | -00.40% ||
| 0.90 => 28.01% | 47.96% | -00.40% | -00.39% ||
| 0.91 => 27.62% | 47.57% | -00.39% | -00.39% ||
| 0.92 => 27.23% | 47.18% | -00.39% | -00.39% ||
| 0.93 => 26.85% | 46.80% | -00.38% | -00.38% ||
| 0.94 => 26.47% | 46.42% | -00.38% | -00.38% ||
| 0.95 => 26.10% | 46.04% | -00.37% | -00.38% ||
| 0.96 => 25.73% | 45.67% | -00.37% | -00.37% ||
| 0.97 => 25.37% | 45.29% | -00.36% | -00.37% ||
| 0.98 => 25.01% | 44.93% | -00.36% | -00.37% ||
| 0.99 => 24.66% | 44.56% | -00.35% | -00.37% ||
| 1.00 => 24.32% | 44.20% | -00.35% | -00.36% ||
| 1.01 => 23.97% | 43.84% | -00.34% | -00.36% ||
| 1.02 => 23.64% | 43.48% | -00.34% | -00.36% ||
| 1.03 => 23.31% | 43.13% | -00.33% | -00.35% ||
| 1.04 => 22.98% | 42.78% | -00.33% | -00.35% ||
| 1.05 => 22.66% | 42.43% | -00.32% | -00.35% ||
| 1.06 => 22.34% | 42.08% | -00.32% | -00.35% ||
| 1.07 => 22.02% | 41.74% | -00.31% | -00.34% ||
| 1.08 => 21.71% | 41.40% | -00.31% | -00.34% ||
| 1.09 => 21.41% | 41.07% | -00.30% | -00.34% ||
| 1.10 => 21.11% | 40.73% | -00.30% | -00.33% ||
| 1.11 => 20.81% | 40.40% | -00.30% | -00.33% ||
| 1.12 => 20.52% | 40.07% | -00.29% | -00.33% ||
| 1.13 => 20.23% | 39.75% | -00.29% | -00.33% ||
| 1.14 => 19.95% | 39.42% | -00.28% | -00.32% ||
| 1.15 => 19.67% | 39.10% | -00.28% | -00.32% ||
| 1.16 => 19.39% | 38.79% | -00.28% | -00.32% ||
| 1.17 => 19.12% | 38.47% | -00.27% | -00.32% ||
| 1.18 => 18.85% | 38.16% | -00.27% | -00.31% ||
| 1.19 => 18.59% | 37.85% | -00.26% | -00.31% ||
| 1.20 => 18.33% | 37.54% | -00.26% | -00.31% ||
| 1.21 => 18.07% | 37.23% | -00.26% | -00.31% ||
| 1.22 => 17.81% | 36.93% | -00.25% | -00.30% ||
| 1.23 => 17.56% | 36.63% | -00.25% | -00.30% ||
| 1.24 => 17.32% | 36.33% | -00.25% | -00.30% ||
| 1.25 => 17.07% | 36.04% | -00.24% | -00.30% ||
| 1.26 => 16.83% | 35.74% | -00.24% | -00.29% ||
| 1.27 => 16.60% | 35.45% | -00.24% | -00.29% ||
| 1.28 => 16.37% | 35.17% | -00.23% | -00.29% ||
| 1.29 => 16.14% | 34.88% | -00.23% | -00.29% ||
| 1.30 => 15.91% | 34.60% | -00.23% | -00.28% ||
| 1.31 => 15.69% | 34.31% | -00.22% | -00.28% ||
| 1.32 => 15.47% | 34.04% | -00.22% | -00.28% ||
| 1.33 => 15.25% | 33.76% | -00.22% | -00.28% ||
| 1.34 => 15.03% | 33.48% | -00.21% | -00.27% ||
| 1.35 => 14.82% | 33.21% | -00.21% | -00.27% ||
| 1.36 => 14.61% | 32.94% | -00.21% | -00.27% ||
| 1.37 => 14.41% | 32.67% | -00.21% | -00.27% ||
| 1.38 => 14.21% | 32.41% | -00.20% | -00.27% ||
| 1.39 => 14.01% | 32.14% | -00.20% | -00.26% ||
| 1.40 => 13.81% | 31.88% | -00.20% | -00.26% ||
| 1.41 => 13.62% | 31.62% | -00.19% | -00.26% ||
| 1.42 => 13.43% | 31.37% | -00.19% | -00.26% ||
| 1.43 => 13.24% | 31.11% | -00.19% | -00.26% ||
| 1.44 => 13.05% | 30.86% | -00.19% | -00.25% ||
| 1.45 => 12.87% | 30.61% | -00.18% | -00.25% ||
| 1.46 => 12.69% | 30.36% | -00.18% | -00.25% ||
| 1.47 => 12.51% | 30.11% | -00.18% | -00.25% ||
| 1.48 => 12.33% | 29.87% | -00.18% | -00.24% ||
| 1.49 => 12.16% | 29.62% | -00.17% | -00.24% ||
| 1.50 => 11.99% | 29.38% | -00.17% | -00.24% ||
| 1.51 => 11.82% | 29.14% | -00.17% | -00.24% ||
| 1.52 => 11.66% | 28.91% | -00.17% | -00.24% ||
| 1.53 => 11.49% | 28.67% | -00.16% | -00.24% ||
| 1.54 => 11.33% | 28.44% | -00.16% | -00.23% ||
| 1.55 => 11.17% | 28.21% | -00.16% | -00.23% ||
| 1.56 => 11.01% | 27.98% | -00.16% | -00.23% ||
| 1.57 => 10.86% | 27.75% | -00.15% | -00.23% ||
| 1.58 => 10.71% | 27.53% | -00.15% | -00.23% ||
| 1.59 => 10.56% | 27.30% | -00.15% | -00.22% ||
| 1.60 => 10.41% | 27.08% | -00.15% | -00.22% ||
| 1.61 => 10.26% | 26.86% | -00.15% | -00.22% ||
| 1.62 => 10.12% | 26.64% | -00.14% | -00.22% ||
| 1.63 => 09.98% | 26.42% | -00.14% | -00.22% ||
| 1.64 => 09.84% | 26.21% | -00.14% | -00.21% ||
| 1.65 => 09.70% | 26.00% | -00.14% | -00.21% ||
| 1.66 => 09.56% | 25.78% | -00.14% | -00.21% ||
| 1.67 => 09.43% | 25.58% | -00.13% | -00.21% ||
| 1.68 => 09.29% | 25.37% | -00.13% | -00.21% ||
| 1.69 => 09.16% | 25.16% | -00.13% | -00.21% ||
| 1.70 => 09.04% | 24.96% | -00.13% | -00.20% ||
| 1.71 => 08.91% | 24.75% | -00.13% | -00.20% ||
| 1.72 => 08.78% | 24.55% | -00.13% | -00.20% ||
| 1.73 => 08.66% | 24.35% | -00.12% | -00.20% ||
| 1.74 => 08.54% | 24.15% | -00.12% | -00.20% ||
| 1.75 => 08.42% | 23.96% | -00.12% | -00.20% ||
| 1.76 => 08.30% | 23.76% | -00.12% | -00.19% ||
| 1.77 => 08.18% | 23.57% | -00.12% | -00.19% ||
| 1.78 => 08.07% | 23.38% | -00.11% | -00.19% ||
| 1.79 => 07.96% | 23.19% | -00.11% | -00.19% ||
| 1.80 => 07.84% | 23.00% | -00.11% | -00.19% ||
| 1.81 => 07.73% | 22.81% | -00.11% | -00.19% ||
| 1.82 => 07.63% | 22.63% | -00.11% | -00.19% ||
| 1.83 => 07.52% | 22.44% | -00.11% | -00.18% ||
| 1.84 => 07.41% | 22.26% | -00.11% | -00.18% ||
| 1.85 => 07.31% | 22.08% | -00.10% | -00.18% ||
| 1.86 => 07.21% | 21.90% | -00.10% | -00.18% ||
| 1.87 => 07.10% | 21.72% | -00.10% | -00.18% ||
| 1.88 => 07.00% | 21.55% | -00.10% | -00.18% ||
| 1.89 => 06.91% | 21.37% | -00.10% | -00.18% ||
| 1.90 => 06.81% | 21.20% | -00.10% | -00.17% ||
| 1.91 => 06.71% | 21.02% | -00.10% | -00.17% ||
| 1.92 => 06.62% | 20.85% | -00.09% | -00.17% ||
| 1.93 => 06.53% | 20.68% | -00.09% | -00.17% ||
| 1.94 => 06.43% | 20.52% | -00.09% | -00.17% ||
| 1.95 => 06.34% | 20.35% | -00.09% | -00.17% ||
| 1.96 => 06.26% | 20.18% | -00.09% | -00.17% ||
| 1.97 => 06.17% | 20.02% | -00.09% | -00.16% ||
| 1.98 => 06.08% | 19.86% | -00.09% | -00.16% ||
| 1.99 => 06.00% | 19.69% | -00.09% | -00.16% ||
| 2.00 => 05.91% | 19.53% | -00.08% | -00.16% ||
| 2.01 => 05.83% | 19.38% | -00.08% | -00.16% ||
| 2.02 => 05.75% | 19.22% | -00.08% | -00.16% ||
| 2.03 => 05.67% | 19.06% | -00.08% | -00.16% ||
| 2.04 => 05.59% | 18.91% | -00.08% | -00.16% ||
| 2.05 => 05.51% | 18.75% | -00.08% | -00.15% ||
| 2.06 => 05.43% | 18.60% | -00.08% | -00.15% ||
| 2.07 => 05.35% | 18.45% | -00.08% | -00.15% ||
| 2.08 => 05.28% | 18.30% | -00.08% | -00.15% ||
| 2.09 => 05.20% | 18.15% | -00.07% | -00.15% ||
| 2.10 => 05.13% | 18.00% | -00.07% | -00.15% ||
| 2.11 => 05.06% | 17.86% | -00.07% | -00.15% ||
| 2.12 => 04.99% | 17.71% | -00.07% | -00.15% ||
| 2.13 => 04.92% | 17.57% | -00.07% | -00.14% ||
| 2.14 => 04.85% | 17.42% | -00.07% | -00.14% ||
| 2.15 => 04.78% | 17.28% | -00.07% | -00.14% ||
| 2.16 => 04.71% | 17.14% | -00.07% | -00.14% ||
| 2.17 => 04.65% | 17.00% | -00.07% | -00.14% ||
| 2.18 => 04.58% | 16.86% | -00.07% | -00.14% ||
| 2.19 => 04.52% | 16.73% | -00.06% | -00.14% ||
| 2.20 => 04.45% | 16.59% | -00.06% | -00.14% ||
| 2.21 => 04.39% | 16.46% | -00.06% | -00.13% ||
| 2.22 => 04.33% | 16.32% | -00.06% | -00.13% ||
| 2.23 => 04.27% | 16.19% | -00.06% | -00.13% ||
| 2.24 => 04.21% | 16.06% | -00.06% | -00.13% ||
| 2.25 => 04.15% | 15.93% | -00.06% | -00.13% ||
| 2.26 => 04.09% | 15.80% | -00.06% | -00.13% ||
| 2.27 => 04.03% | 15.67% | -00.06% | -00.13% ||
| 2.28 => 03.98% | 15.54% | -00.06% | -00.13% ||
| 2.29 => 03.92% | 15.42% | -00.06% | -00.13% ||
| 2.30 => 03.87% | 15.29% | -00.06% | -00.13% ||
| 2.31 => 03.81% | 15.17% | -00.05% | -00.12% ||
| 2.32 => 03.76% | 15.04% | -00.05% | -00.12% ||
| 2.33 => 03.71% | 14.92% | -00.05% | -00.12% ||
| 2.34 => 03.65% | 14.80% | -00.05% | -00.12% ||
| 2.35 => 03.60% | 14.68% | -00.05% | -00.12% ||
| 2.36 => 03.55% | 14.56% | -00.05% | -00.12% ||
| 2.37 => 03.50% | 14.44% | -00.05% | -00.12% ||
| 2.38 => 03.45% | 14.32% | -00.05% | -00.12% ||
| 2.39 => 03.40% | 14.21% | -00.05% | -00.12% ||
| 2.40 => 03.36% | 14.09% | -00.05% | -00.12% ||
| 2.41 => 03.31% | 13.98% | -00.05% | -00.11% ||
| 2.42 => 03.26% | 13.86% | -00.05% | -00.11% ||
| 2.43 => 03.22% | 13.75% | -00.05% | -00.11% ||
| 2.44 => 03.17% | 13.64% | -00.05% | -00.11% ||
| 2.45 => 03.13% | 13.53% | -00.04% | -00.11% ||
| 2.46 => 03.08% | 13.42% | -00.04% | -00.11% ||
| 2.47 => 03.04% | 13.31% | -00.04% | -00.11% ||
| 2.48 => 03.00% | 13.20% | -00.04% | -00.11% ||
| 2.49 => 02.95% | 13.09% | -00.04% | -00.11% ||
| 2.50 => 02.91% | 12.99% | -00.04% | -00.11% ||
| 2.51 => 02.87% | 12.88% | -00.04% | -00.11% ||
| 2.52 => 02.83% | 12.78% | -00.04% | -00.10% ||
| 2.53 => 02.79% | 12.67% | -00.04% | -00.10% ||
| 2.54 => 02.75% | 12.57% | -00.04% | -00.10% ||
| 2.55 => 02.71% | 12.47% | -00.04% | -00.10% ||
| 2.56 => 02.68% | 12.37% | -00.04% | -00.10% ||
| 2.57 => 02.64% | 12.27% | -00.04% | -00.10% ||
| 2.58 => 02.60% | 12.17% | -00.04% | -00.10% ||
| 2.59 => 02.56% | 12.07% | -00.04% | -00.10% ||
| 2.60 => 02.53% | 11.97% | -00.04% | -00.10% ||
| 2.61 => 02.49% | 11.87% | -00.04% | -00.10% ||
| 2.62 => 02.46% | 11.77% | -00.04% | -00.10% ||
| 2.63 => 02.42% | 11.68% | -00.03% | -00.10% ||
| 2.64 => 02.39% | 11.58% | -00.03% | -00.09% ||
| 2.65 => 02.36% | 11.49% | -00.03% | -00.09% ||
| 2.66 => 02.32% | 11.40% | -00.03% | -00.09% ||
| 2.67 => 02.29% | 11.30% | -00.03% | -00.09% ||
| 2.68 => 02.26% | 11.21% | -00.03% | -00.09% ||
| 2.69 => 02.23% | 11.12% | -00.03% | -00.09% ||
| 2.70 => 02.19% | 11.03% | -00.03% | -00.09% ||
| 2.71 => 02.16% | 10.94% | -00.03% | -00.09% ||
| 2.72 => 02.13% | 10.85% | -00.03% | -00.09% ||
| 2.73 => 02.10% | 10.76% | -00.03% | -00.09% ||
| 2.74 => 02.07% | 10.68% | -00.03% | -00.09% ||
| 2.75 => 02.04% | 10.59% | -00.03% | -00.09% ||
| 2.76 => 02.01% | 10.50% | -00.03% | -00.09% ||
| 2.77 => 01.99% | 10.42% | -00.03% | -00.09% ||
| 2.78 => 01.96% | 10.33% | -00.03% | -00.08% ||
| 2.79 => 01.93% | 10.25% | -00.03% | -00.08% ||
| 2.80 => 01.90% | 10.17% | -00.03% | -00.08% ||
| 2.81 => 01.88% | 10.08% | -00.03% | -00.08% ||
| 2.82 => 01.85% | 10.00% | -00.03% | -00.08% ||
| 2.83 => 01.82% | 09.92% | -00.03% | -00.08% ||
| 2.84 => 01.80% | 09.84% | -00.03% | -00.08% ||
| 2.85 => 01.77% | 09.76% | -00.03% | -00.08% ||
| 2.86 => 01.75% | 09.68% | -00.03% | -00.08% ||
| 2.87 => 01.72% | 09.60% | -00.02% | -00.08% ||
| 2.88 => 01.70% | 09.52% | -00.02% | -00.08% ||
| 2.89 => 01.68% | 09.45% | -00.02% | -00.08% ||
| 2.90 => 01.65% | 09.37% | -00.02% | -00.08% ||
| 2.91 => 01.63% | 09.29% | -00.02% | -00.08% ||
| 2.92 => 01.61% | 09.22% | -00.02% | -00.08% ||
| 2.93 => 01.58% | 09.14% | -00.02% | -00.07% ||
| 2.94 => 01.56% | 09.07% | -00.02% | -00.07% ||
| 2.95 => 01.54% | 08.99% | -00.02% | -00.07% ||
| 2.96 => 01.52% | 08.92% | -00.02% | -00.07% ||
| 2.97 => 01.50% | 08.85% | -00.02% | -00.07% ||
| 2.98 => 01.47% | 08.78% | -00.02% | -00.07% ||
| 2.99 => 01.45% | 08.70% | -00.02% | -00.07% ||
| 3.00 => 01.43% | 08.63% | -00.02% | -00.07% ||
| 3.01 => 01.41% | 08.56% | -00.02% | -00.07% ||
| 3.02 => 01.39% | 08.49% | -00.02% | -00.07% ||
| 3.03 => 01.37% | 08.42% | -00.02% | -00.07% ||
| 3.04 => 01.35% | 08.36% | -00.02% | -00.07% ||
| 3.05 => 01.33% | 08.29% | -00.02% | -00.07% ||
| 3.06 => 01.32% | 08.22% | -00.02% | -00.07% ||
| 3.07 => 01.30% | 08.15% | -00.02% | -00.07% ||
| 3.08 => 01.28% | 08.09% | -00.02% | -00.07% ||
| 3.09 => 01.26% | 08.02% | -00.02% | -00.07% ||
| 3.10 => 01.24% | 07.96% | -00.02% | -00.07% ||
| 3.11 => 01.22% | 07.89% | -00.02% | -00.06% ||
| 3.12 => 01.21% | 07.83% | -00.02% | -00.06% ||
| 3.13 => 01.19% | 07.76% | -00.02% | -00.06% ||
| 3.14 => 01.17% | 07.70% | -00.02% | -00.06% ||
| 3.15 => 01.16% | 07.64% | -00.02% | -00.06% ||
| 3.16 => 01.14% | 07.58% | -00.02% | -00.06% ||
| 3.17 => 01.12% | 07.51% | -00.02% | -00.06% ||
| 3.18 => 01.11% | 07.45% | -00.02% | -00.06% ||
| 3.19 => 01.09% | 07.39% | -00.02% | -00.06% ||
| 3.20 => 01.08% | 07.33% | -00.02% | -00.06% ||
| 3.21 => 01.06% | 07.27% | -00.02% | -00.06% ||
| 3.22 => 01.05% | 07.21% | -00.02% | -00.06% ||
| 3.23 => 01.03% | 07.16% | -00.01% | -00.06% ||
| 3.24 => 01.02% | 07.10% | -00.01% | -00.06% ||
| 3.25 => 01.00% | 07.04% | -00.01% | -00.06% ||
| 3.26 => 00.99% | 06.98% | -00.01% | -00.06% ||
| 3.27 => 00.97% | 06.93% | -00.01% | -00.06% ||
| 3.28 => 00.96% | 06.87% | -00.01% | -00.06% ||
| 3.29 => 00.95% | 06.81% | -00.01% | -00.06% ||
| 3.30 => 00.93% | 06.76% | -00.01% | -00.06% ||
| 3.31 => 00.92% | 06.70% | -00.01% | -00.05% ||
| 3.32 => 00.91% | 06.65% | -00.01% | -00.05% ||
| 3.33 => 00.89% | 06.59% | -00.01% | -00.05% ||
| 3.34 => 00.88% | 06.54% | -00.01% | -00.05% ||
| 3.35 => 00.87% | 06.49% | -00.01% | -00.05% ||
| 3.36 => 00.86% | 06.43% | -00.01% | -00.05% ||
| 3.37 => 00.84% | 06.38% | -00.01% | -00.05% ||
| 3.38 => 00.83% | 06.33% | -00.01% | -00.05% ||
| 3.39 => 00.82% | 06.28% | -00.01% | -00.05% ||
| 3.40 => 00.81% | 06.23% | -00.01% | -00.05% ||
| 3.41 => 00.80% | 06.18% | -00.01% | -00.05% ||
| 3.42 => 00.78% | 06.13% | -00.01% | -00.05% ||
| 3.43 => 00.77% | 06.08% | -00.01% | -00.05% ||
| 3.44 => 00.76% | 06.03% | -00.01% | -00.05% ||
| 3.45 => 00.75% | 05.98% | -00.01% | -00.05% ||
| 3.46 => 00.74% | 05.93% | -00.01% | -00.05% ||
| 3.47 => 00.73% | 05.88% | -00.01% | -00.05% ||
| 3.48 => 00.72% | 05.83% | -00.01% | -00.05% ||
| 3.49 => 00.71% | 05.79% | -00.01% | -00.05% ||
| 3.50 => 00.70% | 05.74% | -00.01% | -00.05% ||
| 3.51 => 00.69% | 05.69% | -00.01% | -00.05% ||
| 3.52 => 00.68% | 05.65% | -00.01% | -00.05% ||
| 3.53 => 00.67% | 05.60% | -00.01% | -00.05% ||
| 3.54 => 00.66% | 05.56% | -00.01% | -00.05% ||
| 3.55 => 00.65% | 05.51% | -00.01% | -00.05% ||
| 3.56 => 00.64% | 05.47% | -00.01% | -00.04% ||
| 3.57 => 00.63% | 05.42% | -00.01% | -00.04% ||
| 3.58 => 00.62% | 05.38% | -00.01% | -00.04% ||
| 3.59 => 00.61% | 05.33% | -00.01% | -00.04% ||
| 3.60 => 00.60% | 05.29% | -00.01% | -00.04% ||
| 3.61 => 00.59% | 05.25% | -00.01% | -00.04% ||
| 3.62 => 00.59% | 05.20% | -00.01% | -00.04% ||
| 3.63 => 00.58% | 05.16% | -00.01% | -00.04% ||
| 3.64 => 00.57% | 05.12% | -00.01% | -00.04% ||
| 3.65 => 00.56% | 05.08% | -00.01% | -00.04% ||
| 3.66 => 00.55% | 05.04% | -00.01% | -00.04% ||
| 3.67 => 00.54% | 05.00% | -00.01% | -00.04% ||
| 3.68 => 00.54% | 04.96% | -00.01% | -00.04% ||
| 3.69 => 00.53% | 04.92% | -00.01% | -00.04% ||
| 3.70 => 00.52% | 04.88% | -00.01% | -00.04% ||
| 3.71 => 00.51% | 04.84% | -00.01% | -00.04% ||
| 3.72 => 00.51% | 04.80% | -00.01% | -00.04% ||
| 3.73 => 00.50% | 04.76% | -00.01% | -00.04% ||
| 3.74 => 00.49% | 04.72% | -00.01% | -00.04% ||
| 3.75 => 00.48% | 04.68% | -00.01% | -00.04% ||
| 3.76 => 00.48% | 04.64% | -00.01% | -00.04% ||
| 3.77 => 00.47% | 04.60% | -00.01% | -00.04% ||
| 3.78 => 00.46% | 04.57% | -00.01% | -00.04% ||
| 3.79 => 00.46% | 04.53% | -00.01% | -00.04% ||
| 3.80 => 00.45% | 04.49% | -00.01% | -00.04% ||
| 3.81 => 00.44% | 04.46% | -00.01% | -00.04% ||
| 3.82 => 00.43% | 04.42% | -00.01% | -00.04% ||
| 3.83 => 00.43% | 04.38% | -00.01% | -00.04% ||
| 3.84 => 00.42% | 04.35% | -00.01% | -00.04% ||
| 3.85 => 00.42% | 04.31% | -00.01% | -00.04% ||
| 3.86 => 00.41% | 04.28% | -00.01% | -00.04% ||
| 3.87 => 00.40% | 04.24% | -00.01% | -00.03% ||
| 3.88 => 00.40% | 04.21% | -00.01% | -00.03% ||
| 3.89 => 00.39% | 04.17% | -00.01% | -00.03% ||
| 3.90 => 00.38% | 04.14% | -00.01% | -00.03% ||
| 3.91 => 00.38% | 04.11% | -00.01% | -00.03% ||
| 3.92 => 00.37% | 04.07% | -00.01% | -00.03% ||
| 3.93 => 00.37% | 04.04% | -00.01% | -00.03% ||
| 3.94 => 00.36% | 04.01% | -00.01% | -00.03% ||
| 3.95 => 00.36% | 03.97% | -00.01% | -00.03% ||
| 3.96 => 00.35% | 03.94% | -00.01% | -00.03% ||
| 3.97 => 00.34% | 03.91% | -00.01% | -00.03% ||
| 3.98 => 00.34% | 03.88% | -00.01% | -00.03% ||
| 3.99 => 00.33% | 03.85% | -00.01% | -00.03% ||
| 4.00 => 00.33% | 03.82% | -00.01% | -00.03% ||
| 4.01 => 00.32% | 03.78% | -00.01% | -00.03% ||
| 4.02 => 00.32% | 03.75% | -00.01% | -00.03% ||
| 4.03 => 00.31% | 03.72% | -00.01% | -00.03% ||
| 4.04 => 00.31% | 03.69% | -00.01% | -00.03% ||
| 4.05 => 00.30% | 03.66% | -00.00% | -00.03% ||
| 4.06 => 00.30% | 03.63% | -00.00% | -00.03% ||
| 4.07 => 00.29% | 03.60% | -00.00% | -00.03% ||
| 4.08 => 00.29% | 03.57% | -00.00% | -00.03% ||
| 4.09 => 00.28% | 03.55% | -00.00% | -00.03% ||
| 4.10 => 00.28% | 03.52% | -00.00% | -00.03% ||
| 4.11 => 00.28% | 03.49% | -00.00% | -00.03% ||
| 4.12 => 00.27% | 03.46% | -00.00% | -00.03% ||
| 4.13 => 00.27% | 03.43% | -00.00% | -00.03% ||
| 4.14 => 00.26% | 03.40% | -00.00% | -00.03% ||
| 4.15 => 00.26% | 03.38% | -00.00% | -00.03% ||
| 4.16 => 00.25% | 03.35% | -00.00% | -00.03% ||
| 4.17 => 00.25% | 03.32% | -00.00% | -00.03% ||
| 4.18 => 00.24% | 03.29% | -00.00% | -00.03% ||
| 4.19 => 00.24% | 03.27% | -00.00% | -00.03% ||
| 4.20 => 00.24% | 03.24% | -00.00% | -00.03% ||
| 4.21 => 00.23% | 03.21% | -00.00% | -00.03% ||
| 4.22 => 00.23% | 03.19% | -00.00% | -00.03% ||
| 4.23 => 00.22% | 03.16% | -00.00% | -00.03% ||
| 4.24 => 00.22% | 03.14% | -00.00% | -00.03% ||
| 4.25 => 00.22% | 03.11% | -00.00% | -00.03% ||
| 4.26 => 00.21% | 03.09% | -00.00% | -00.03% ||
| 4.27 => 00.21% | 03.06% | -00.00% | -00.03% ||
| 4.28 => 00.20% | 03.04% | -00.00% | -00.02% ||
| 4.29 => 00.20% | 03.01% | -00.00% | -00.02% ||
| 4.30 => 00.20% | 02.99% | -00.00% | -00.02% ||
| 4.31 => 00.19% | 02.96% | -00.00% | -00.02% ||
| 4.32 => 00.19% | 02.94% | -00.00% | -00.02% ||
| 4.33 => 00.19% | 02.91% | -00.00% | -00.02% ||
| 4.34 => 00.18% | 02.89% | -00.00% | -00.02% ||
| 4.35 => 00.18% | 02.87% | -00.00% | -00.02% ||
| 4.36 => 00.18% | 02.84% | -00.00% | -00.02% ||
| 4.37 => 00.17% | 02.82% | -00.00% | -00.02% ||
| 4.38 => 00.17% | 02.80% | -00.00% | -00.02% ||
| 4.39 => 00.17% | 02.78% | -00.00% | -00.02% ||
| 4.40 => 00.16% | 02.75% | -00.00% | -00.02% ||
| 4.41 => 00.16% | 02.73% | -00.00% | -00.02% ||
| 4.42 => 00.16% | 02.71% | -00.00% | -00.02% ||
| 4.43 => 00.15% | 02.69% | -00.00% | -00.02% ||
| 4.44 => 00.15% | 02.66% | -00.00% | -00.02% ||
| 4.45 => 00.15% | 02.64% | -00.00% | -00.02% ||
| 4.46 => 00.14% | 02.62% | -00.00% | -00.02% ||
| 4.47 => 00.14% | 02.60% | -00.00% | -00.02% ||
| 4.48 => 00.14% | 02.58% | -00.00% | -00.02% ||
| 4.49 => 00.13% | 02.56% | -00.00% | -00.02% ||
| 4.50 => 00.13% | 02.54% | -00.00% | -00.02% ||
| 4.51 => 00.13% | 02.52% | -00.00% | -00.02% ||
| 4.52 => 00.12% | 02.50% | -00.00% | -00.02% ||
| 4.53 => 00.12% | 02.48% | -00.00% | -00.02% ||
| 4.54 => 00.12% | 02.46% | -00.00% | -00.02% ||
| 4.55 => 00.12% | 02.44% | -00.00% | -00.02% ||
| 4.56 => 00.11% | 02.42% | -00.00% | -00.02% ||
| 4.57 => 00.11% | 02.40% | -00.00% | -00.02% ||
| 4.58 => 00.11% | 02.38% | -00.00% | -00.02% ||
| 4.59 => 00.10% | 02.36% | -00.00% | -00.02% ||
| 4.60 => 00.10% | 02.34% | -00.00% | -00.02% ||
| 4.61 => 00.10% | 02.32% | -00.00% | -00.02% ||
| 4.62 => 00.10% | 02.30% | -00.00% | -00.02% ||
| 4.63 => 00.09% | 02.28% | -00.00% | -00.02% ||
| 4.64 => 00.09% | 02.26% | -00.00% | -00.02% ||
| 4.65 => 00.09% | 02.24% | -00.00% | -00.02% ||
| 4.66 => 00.08% | 02.23% | -00.00% | -00.02% ||
| 4.67 => 00.08% | 02.21% | -00.00% | -00.02% ||
| 4.68 => 00.08% | 02.19% | -00.00% | -00.02% ||
| 4.69 => 00.08% | 02.17% | -00.00% | -00.02% ||
| 4.70 => 00.07% | 02.15% | -00.00% | -00.02% ||
| 4.71 => 00.07% | 02.14% | -00.00% | -00.02% ||
| 4.72 => 00.07% | 02.12% | -00.00% | -00.02% ||
| 4.73 => 00.07% | 02.10% | -00.00% | -00.02% ||
| 4.74 => 00.06% | 02.09% | -00.00% | -00.02% ||
| 4.75 => 00.06% | 02.07% | -00.00% | -00.02% ||
| 4.76 => 00.06% | 02.05% | -00.00% | -00.02% ||
| 4.77 => 00.06% | 02.03% | -00.00% | -00.02% ||
| 4.78 => 00.05% | 02.02% | -00.00% | -00.02% ||
| 4.79 => 00.05% | 02.00% | -00.00% | -00.02% ||
| 4.80 => 00.05% | 01.99% | -00.00% | -00.02% ||
| 4.81 => 00.05% | 01.97% | -00.00% | -00.02% ||
| 4.82 => 00.04% | 01.95% | -00.00% | -00.02% ||
| 4.83 => 00.04% | 01.94% | -00.00% | -00.02% ||
| 4.84 => 00.04% | 01.92% | -00.00% | -00.02% ||
| 4.85 => 00.04% | 01.91% | -00.00% | -00.02% ||
| 4.86 => 00.03% | 01.89% | -00.00% | -00.02% ||
| 4.87 => 00.03% | 01.88% | -00.00% | -00.02% ||
| 4.88 => 00.03% | 01.86% | -00.00% | -00.02% ||
| 4.89 => 00.03% | 01.85% | -00.00% | -00.02% ||
| 4.90 => 00.02% | 01.83% | -00.00% | -00.02% ||
| 4.91 => 00.02% | 01.82% | -00.00% | -00.01% ||
| 4.92 => 00.02% | 01.80% | -00.00% | -00.01% ||
| 4.93 => 00.02% | 01.79% | -00.00% | -00.01% ||
| 4.94 => 00.01% | 01.77% | -00.00% | -00.01% ||
| 4.95 => 00.01% | 01.76% | -00.00% | -00.01% ||
| 4.96 => 00.01% | 01.74% | -00.00% | -00.01% ||
| 4.97 => 00.01% | 01.73% | -00.00% | -00.01% ||
| 4.98 => 00.00% | 01.71% | -00.00% | -00.01% ||
| 4.99 => 00.00% | 01.70% | -00.00% | -00.01% ||
| 5.00 => 00.00% | 01.69% | -00.00% | -00.01% ||
|------------------------------------------------||
|--------------------------------------------------------------------------||
| TRANSACTION COST RECONCILIATION: EXPLICIT vs. NUMERICAL vs. CLOSED FORM ||
|--------------------------------------------------------------------------||
| Transaction Cost Expectation : 035351.7 | 035351.7 | 020412.4 ||
| Transaction Cost Variance (X 10^-06) : 010556.4 | 010556.4 | 010206.2 ||
|--------------------------------------------------------------------------||
|-----------------------------------------------------------------|
| 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 00:35:06 EST 2020
| Setup Duration => 1 ms
| Run Duration => 1 s 129 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 00:35:06 EST 2020
| Setup Time => Mon Jan 27 00:35:06 EST 2020
| Setup Duration => 2 ms
|-----------------------------------------------------------------|
|------------------------------------------------||
| NUMERICAL - CLOSED FORM CONTINUOUS TRAJECTORY ||
|------------------------------------------------||
| L -> R: ||
| - Execution Time Node ||
| - Holdings (Numerical) ||
| - Holdings (Continuous Closed Form) ||
| - Trade List (Numerical) ||
| - Trade List (Continuous Closed Form) ||
|------------------------------------------------||
| 0.25 => 70.59% | 70.59% | -29.41% | -29.41% ||
| 0.50 => 49.75% | 49.75% | -20.85% | -20.85% ||
| 0.75 => 35.03% | 35.03% | -14.72% | -14.72% ||
| 1.00 => 24.65% | 24.65% | -10.38% | -10.38% ||
| 1.25 => 17.34% | 17.34% | -07.31% | -07.31% ||
| 1.50 => 12.20% | 12.20% | -05.14% | -05.14% ||
| 1.75 => 08.58% | 08.58% | -03.62% | -03.62% ||
| 2.00 => 06.04% | 06.04% | -02.55% | -02.55% ||
| 2.25 => 04.25% | 04.25% | -01.79% | -01.79% ||
| 2.50 => 02.99% | 02.99% | -01.26% | -01.26% ||
| 2.75 => 02.10% | 02.10% | -00.89% | -00.89% ||
| 3.00 => 01.47% | 01.47% | -00.63% | -00.63% ||
| 3.25 => 01.03% | 01.03% | -00.44% | -00.44% ||
| 3.50 => 00.72% | 00.72% | -00.31% | -00.31% ||
| 3.75 => 00.50% | 00.50% | -00.22% | -00.22% ||
| 4.00 => 00.34% | 00.34% | -00.16% | -00.16% ||
| 4.25 => 00.22% | 00.22% | -00.12% | -00.12% ||
| 4.50 => 00.14% | 00.14% | -00.09% | -00.09% ||
| 4.75 => 00.06% | 00.06% | -00.07% | -00.07% ||
| 5.00 => 00.00% | 00.00% | -00.06% | -00.06% ||
|------------------------------------------------||
|--------------------------------------------------------------------------||
| TRANSACTION COST RECONCILIATION: EXPLICIT vs. NUMERICAL vs. CLOSED FORM ||
|--------------------------------------------------------------------------||
| Transaction Cost Expectation : 034589.2 | 034589.2 | 034589.2 ||
| Transaction Cost Variance (X 10^-06) : 002727.7 | 002727.7 | 002727.7 ||
|--------------------------------------------------------------------------||
|-----------------------------------------------------------------|
| 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 00:35:06 EST 2020
| Setup Time => Mon Jan 27 00:35:06 EST 2020
| Finish Time => Mon Jan 27 00:35:06 EST 2020
| Setup Duration => 2 ms
| Run Duration => 21 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 00:35:06 EST 2020
| Setup Time => Mon Jan 27 00:35:06 EST 2020
| Setup Duration => 14 ms
|-----------------------------------------------------------------|
|-----------------------------||
| Optimal Trading Trajectory ||
| ------- ------- ---------- ||
| L -> R: ||
| Time Node ||
| Holdings ||
| Trade Amount ||
|-----------------------------||
| 0.000 => 0100000.0 | 000000.0 ||
| 0.020 => 0009082.9 | -090917.1 ||
| 0.040 => 0000000.0 | -009082.9 ||
|-----------------------------||
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
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| 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 00:35:06 EST 2020
| Setup Time => Mon Jan 27 00:35:06 EST 2020
| Finish Time => Mon Jan 27 00:35:06 EST 2020
| Setup Duration => 14 ms
| Run Duration => 73 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 00:35:06 EST 2020
| Setup Time => Mon Jan 27 00:35:06 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
|---------------------------------------------||
|-----------------------------||
| Optimal Trading 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 ||
|-----------------------------||
|--------------------------------------------------------------||
| TRANSACTION COST RECONCILIATION: OPTIMAL vs. EXPLICIT LINEAR ||
|--------------------------------------------------------------||
| Transaction Cost Expectation : 910477.8 | 910477.8 ||
| Transaction Cost Variance (X 10^-06) : 363868.0 | 363868.0 ||
|--------------------------------------------------------------||
|-----------------------------------------------------------------|
| 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 00:35:06 EST 2020
| Setup Time => Mon Jan 27 00:35:06 EST 2020
| Finish Time => Mon Jan 27 00:35:06 EST 2020
| Setup Duration => 2 ms
| Run Duration => 0 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 00:35:06 EST 2020
| Setup Time => Mon Jan 27 00:35:06 EST 2020
| Setup Duration => 3 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
|---------------------------------------------||
|-----------------------------||
| Optimal Trading Trajectory ||
| ------- ------- ---------- ||
| L -> R: ||
| Time Node ||
| Holdings ||
| Trade Amount ||
|-----------------------------||
| 0 => 1000000.0 | 000000.0 ||
| 1 => 0546773.1 | -453226.9 ||
| 2 => 0296533.9 | -250239.2 ||
| 3 => 0154454.9 | -142079.0 ||
| 4 => 0066695.6 | -087759.2 ||
| 5 => 0000000.0 | -066695.6 ||
|-----------------------------||
|--------------------------------------------------------------||
| TRANSACTION COST RECONCILIATION: OPTIMAL vs. EXPLICIT LINEAR ||
|--------------------------------------------------------------||
| Transaction Cost Expectation : 879591.3 | 879591.3 ||
| Transaction Cost Variance (X 10^-06) : 373678.0 | 373678.0 ||
|--------------------------------------------------------------||
|-----------------------------------------------------------------|
| 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 00:35:06 EST 2020
| Setup Time => Mon Jan 27 00:35:06 EST 2020
| Finish Time => Mon Jan 27 00:35:06 EST 2020
| Setup Duration => 3 ms
| Run Duration => 1 ms
|-----------------------------------------------------------------|