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TransactionCostAnalyticsLibrary.md

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Transaction Cost Analytics Library

Transaction Cost Analytics Library contains the Functionality to estimate single Trade/Portfolio Execution Cost, and corresponding Optimal Trajectories.

Documentation

Document Link
Technical Specification Latest Previous
User Guide
API Javadoc

Component Projects

  • Execution => Optimal Impact/Capture Based Trading Trajectories - Deterministic, Stochastic, Static, and Dynamic.

Coverage

  • Execution Cost and Transaction Trajectories
    • Motivation and Practice Overview
    • Post Trade Reporting
    • Optimal Trading
    • Pre Trade Cost Estimation
    • References
  • Execution of Portfolio Transactions - Optimal Trajectory
    • Overview, Scope, and Key Results
    • Motivation, Background, and Synopsys
    • Definition of a Trading STrategy
    • Price Dynamics
    • Temporary Market Impact
    • Capture and Cost of Trading Trajectories
    • Linear Impact Functions
    • The Efficient Frontier of Optimal Execution
    • The Definition of the Frontier
    • Explicit Construction of Optimal Strategies
    • The Half-Life of the Trade
    • The Structure of the Frontier
    • The Utility Function
    • Value-at-Risk
    • The Role of Utility in Execution
    • Choice of Parameters
    • The Value of Information
    • Drift
    • Gain Due to Drift
    • Serial Correlation
    • Parameter Shifts
    • Conclusions and Further Extensions
    • Numerical Optimal Trajectory Generation
    • References
  • Non Linear Impact and Trading Enhanced Risk
    • Abstract
    • Introduction
    • The Model
    • Non Linear Cost Functions
    • Objective Functions
    • Almgren (2003) Example
    • Trading Enhanced Risk
    • Constant Enhanced Risk
    • Linear Enhanced Risk
    • Almgren (2003) Non Linear Example Sample
    • Conclusions: Summary and Extensions
    • References
  • Market Impact Function/Parameters Estimation
    • Introduction, Overview, and Background
    • Data Description and Filtering Rules
    • Data Model Variables
    • Trajectory Cost Model
    • Permanent Impact
    • Temporary Impact
    • Choice of the Functional Form
    • Cross Sectional Description
    • Model Determination
    • Determination of the Coefficients
    • Residual Analysis
    • References
  • Optimal Execution of Program Trades
    • Introduction
    • Efficient Frontier Pricing of Program Trades
    • The Efficient Frontier Including Discount
    • Performance Measures
    • Annualization
    • Definition of the Information Ratio
    • Application of the Information Ratio
    • References
  • Bayesian Trading with a Daily Trend
    • Overview, Motivation, and Synopsys
    • Introduction and the Associated Literature
    • Price Model Using Bayesian Update
    • Bayesian Inference
    • Trading and Price Impact
    • Optimal Trading Strategies
    • Trajectory by the Calculus of Variations
    • Optimality of the Bayesian Adaptive Strategy
    • Stochastic Optimal Control Treatment
    • References
  • Cost Adaptive Arrival Price Trading
    • Synopsys and Key Results
    • Introduction, Background, and Motivation
    • Adaptive Strategies - A Simple Illustration
    • Trading in Practice
    • Other Adaptive Strategies
    • The Market Model
    • Static Trajectories
    • Non Dimensionalization
    • Small Portfolio Limit
    • Portfolio Size Comparison
    • Single Update
    • Single Update Mean and Variance
    • Almgren and Lorenz (2007) Results
    • Continuous Response
    • Continuous Response Numerical Results
    • Discussion and Conclusions
    • References
  • Mean Variance Optimal Adaptive Execution
    • Background, Synposys, and Key Results
    • References
  • Optimal Trading in a Dynamic Market
    • Introduction, Overview, and Motivation
    • Limitations of Arrival Price Frameworks
    • The Liquidation Problem
    • Cost of Trading
    • Constant Coefficients
    • Coordinated Variation
    • Rolling Time Horizon Approximate Strategy
    • Small Impact Approximation
    • Dynamic Programming - Fully Coordinated Version
    • Log Normal and Non Dimensionalization
    • Constant Market
    • Long Time
    • Dynamic Programming - Custom \epsilon (t) and \sigma (t)
    • Log Normal Model
    • Coordinated Variation Model
    • Asymptotic Behavior
    • Numerical Solution
    • Time Discretization
    • Space Discretization
    • Almgren (2009, 2012) Sample Solutions
    • References
  • Systemic Market Making SKU
    • Symbology
    • Glossary
    • Width/Skew/Size Estimation Models
    • Market Making System SKU
    • Market Making Parameter Types
    • Intra-day Pricing Curve Generation Schemes
    • Mid-Price Models
    • Width Models
    • Skew Models
    • Size Models
    • Heuristics Control
    • Published Market Quote Picture
    • Flow Analysis

DROP Specifications