Uses of Record Class
com.quantfinlib.microstructure.AlmgrenChriss.Params

Packages that use AlmgrenChriss.Params

Package	Description
com.quantfinlib.execution	Order routing, execution algorithms and the venue models they learn from.
com.quantfinlib.microstructure	Market microstructure analytics: impact, liquidity, order-flow signals and intraday curves.

Uses of AlmgrenChriss.Params in com.quantfinlib.execution

Methods in com.quantfinlib.execution with parameters of type AlmgrenChriss.Params

Modifier and Type	Method	Description
static double	ImplementationShortfallScheduler.riskAversionForFrontLoad(AlmgrenChriss.Params base, double frontLoadFraction)	Convenience urgency calibration: the risk aversion whose first slice is roughly frontLoadFraction of the parent (e.g. 0.3 = "30% up front"), found by bisection on λ.
static List<Slice>	ImplementationShortfallScheduler.schedule(AlmgrenChriss.Params params, long durationMillis)	The optimal IS schedule for the given market parameters.

Uses of AlmgrenChriss.Params in com.quantfinlib.microstructure

Methods in com.quantfinlib.microstructure that return AlmgrenChriss.Params

Modifier and Type	Method	Description
AlmgrenChriss.Params	AlmgrenChriss.Params.withRiskAversion(double lambda)

Methods in com.quantfinlib.microstructure with parameters of type AlmgrenChriss.Params

Modifier and Type	Method	Description
static List<AlmgrenChriss.Trajectory>	AlmgrenChriss.efficientFrontier(AlmgrenChriss.Params base, double[] riskAversions)	Cost/risk frontier across risk aversions (for choosing the urgency).
static AlmgrenChriss.Trajectory	AlmgrenChriss.optimalTrajectory(AlmgrenChriss.Params p)
static AlmgrenChriss.Trajectory	AlmgrenChriss.twap(AlmgrenChriss.Params p)	The risk-neutral (λ = 0) linear schedule, for comparison.