Class AlmgrenChriss

java.lang.Object

com.quantfinlib.microstructure.AlmgrenChriss

public final class AlmgrenChriss
extends Object

Almgren-Chriss (2000) optimal execution: the trading trajectory that minimizes E[cost] + λ·Var[cost] when liquidating X shares over a horizon, trading off temporary impact (fast execution is expensive) against price risk (slow execution is risky). Closed-form discrete solution: holdings decay as x_j = X · sinh(κ(T - t_j)) / sinh(κT), with the urgency parameter κ growing with risk aversion. λ→0 recovers TWAP.

Uses the same impact parameterization as MarketImpactModel: temporary impact η (price concession per unit trade rate) and permanent impact γ (per share). All quantities share one time unit (e.g. days): σ is price volatility per √time, T the horizon in those units.

Nested Class Summary

Nested Classes

Modifier and Type	Class	Description
static final record	AlmgrenChriss.Params
static final record	AlmgrenChriss.Trajectory	The optimal schedule: holdings[j] is the position after interval j (holdings[0] = X, holdings[N] = 0); trades[j] is sold in interval j+1.

Method Summary

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

Methods inherited from class java.lang.Object

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

Method Details

optimalTrajectory

public static AlmgrenChriss.Trajectory optimalTrajectory(AlmgrenChriss.Params p)

twap

public static AlmgrenChriss.Trajectory twap(AlmgrenChriss.Params p)

The risk-neutral (λ = 0) linear schedule, for comparison.

efficientFrontier

public static List<AlmgrenChriss.Trajectory> efficientFrontier(AlmgrenChriss.Params base,
 double[] riskAversions)

Cost/risk frontier across risk aversions (for choosing the urgency).