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Extensions of the Almgren-Chriss framework
| Content Provider | Scilit |
|---|---|
| Author | Gueant, Olivier |
| Copyright Year | 2016 |
| Description | In this short chapter, we present several extensions of the Almgren-Chriss framework. In the first section, we focus on some very basic generalizations of the model. We show that the trader can incorporate his views on the future behavior of the market price of the stock. In particular, we show that a drift can very easily be added. Furthermore, we show that the volatility parameter σ can easily be replaced by a volatility process (σt)t, as long as this process is deterministic. In the second section, we show how participation constraints can be added, for avoiding trading too fast. In the third section, we generalize the Almgren-Chriss framework to the case of a multi-stock portfolio. We cover the case of IS orders, but TC or VWAP orders can be tackled in the same way. Book Name: The Financial Mathematics of Market Liquidity |
| Related Links | https://content.taylorfrancis.com/books/download?dac=C2014-0-41857-3&isbn=9780429153778&doi=10.1201/b21350-13&format=pdf |
| Ending Page | 130 |
| Page Count | 16 |
| Starting Page | 115 |
| DOI | 10.1201/b21350-13 |
| Language | English |
| Publisher | Informa UK Limited |
| Publisher Date | 2016-03-30 |
| Access Restriction | Open |
| Subject Keyword | Book Name: The Financial Mathematics of Market Liquidity Operations Research and Management Science Almgren Chriss Framework |
| Content Type | Text |
| Resource Type | Chapter |
