Class ImplementationShortfallScheduler

java.lang.Object

com.quantfinlib.execution.ImplementationShortfallScheduler

public final class ImplementationShortfallScheduler
extends Object

Implementation-shortfall (arrival-price) schedule: turns the AlmgrenChriss optimal trajectory into executable Slices. Where TWAP spreads evenly and VWAP follows the volume curve, IS front-loads with urgency κ — trade more now to cut exposure to price drift, but not so fast that temporary impact dominates; risk aversion λ sets the balance (λ→0 degrades to TWAP, exactly as the math says).

Slice quantities are integer-allocated largest-remainder style so they always sum exactly to the parent quantity.

Method Summary

Modifier and Type	Method	Description
static double	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>	schedule(AlmgrenChriss.Params params, long durationMillis)	The optimal IS schedule for the given market parameters.

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Method Details

schedule

public static List<Slice> schedule(AlmgrenChriss.Params params,
 long durationMillis)

The optimal IS schedule for the given market parameters.

Parameters:

params - Almgren-Chriss inputs (totalShares is the parent)

durationMillis - wall-clock execution window the horizon maps onto

riskAversionForFrontLoad

public static double 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. Useful when traders think in front-load, not in λ.