Adaptive Arrival Price
This script plots the efficient frontier of the single update arrival price model as presented in
R. Almgren, J. Lorenz: Adaptive Arrival Price. Algorithmic Trading III, Spring 2007. (Preprint available on http://www.algorithmictradingpit.com)
See also J. Lorenz: "Optimal Trading Algorithms: Portfolio Transactions, Multiperiod Portfolio Selection, and Competitive Online Search" (available at http://www.algorithmictradingpit.com/phd-thesis.pdf), Chapter 2.4
Cite As
Julian Lorenz (2024). Adaptive Arrival Price (https://www.mathworks.com/matlabcentral/fileexchange/44118-adaptive-arrival-price), MATLAB Central File Exchange. Retrieved .
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Version | Published | Release Notes | |
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1.0.0.0 |