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

Packages that use AlmgrenChriss.Trajectory

Package

Description

com.quantfinlib.microstructure

Market microstructure analytics: MarketImpactModel (square-root law + Almgren-Chriss temporary/permanent decomposition), AlmgrenChriss (closed-form optimal execution trajectories on the cost/risk frontier), QueueModel (fill probability from queue position and latency advantage), TransactionCostAnalyzer (implementation shortfall, slippage vs VWAP, effective spread per fill), TickSizeSchedule (banded price grids) and Auction (call uncross).

Uses of AlmgrenChriss.Trajectory in com.quantfinlib.microstructure

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

Modifier and Type	Method	Description
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.

Methods in com.quantfinlib.microstructure that return types with arguments of type AlmgrenChriss.Trajectory

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).