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Quantitative Finance · Begrippenlijst

Wat is Almgren–Chriss model?

Ook bekend als: Almgren--Chriss model

Definition 14.3 Microstructure and Execution · Hoofdstuk 14 — The Almgren–Chriss Framework

In the Almgren–Chriss model the price moves by a permanent impact γ\gamma per share traded and a random walk of volatility σ\sigma, and each trade pays a temporary impact ηv\eta v per share at rate vv. Selling XX along x(t)x(t) costs, against the arrival price,

E[C]=12γX2+η∫0Tv(t)2 dt,Var⁡[C]=σ2∫0Tx(t)2 dt.\E[C]=\tfrac12\gamma X^2+\eta\int_0^Tv(t)^2\,dt,\qquad \operatorname{Var}[C]=\sigma^2\int_0^Tx(t)^2\,dt.
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