org.drip.execution.athl

Class IJK

java.lang.Object

org.drip.execution.athl.IJK

public class IJK
extends java.lang.Object

IJK holds the Empirical Signals that have been emitted off of a Transaction Run using the Scheme by Almgren, Thum, Hauptmann, and Li (2005), using the Parameterization of Almgren (2003). The References are: - Almgren, R., and N. Chriss (1999): Value under Liquidation, Risk 12 (12). - Almgren, R., and N. Chriss (2000): Optimal Execution of Portfolio Transactions, Journal of Risk 3 (2) 5-39. - Almgren, R. (2003): Optimal Execution with Nonlinear Impact Functions and Trading-Enhanced Risk, Applied Mathematical Finance 10 (1) 1-18. - Almgren, R., and N. Chriss (2003): Bidding Principles, Risk 97-102. - Almgren, R., C. Thum, E. Hauptmann, and H. Li (2005): Equity Market Impact, Risk 18 (7) 57-62.

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor and Description
IJK(TransactionSignal tsI, TransactionSignal tsK) IJK Constructor

Method Summary

Modifier and Type	Method and Description
TransactionSignal	i() The Almgren-Thum-Hauptmann-Li "I" Transaction Signal
TransactionSignal	j() The Almgren-Thum-Hauptmann-Li "J" Transaction Signal
TransactionSignal	k() The Almgren-Thum-Hauptmann-Li "K" Transaction Signal

Methods inherited from class java.lang.Object

equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Detail

IJK

public IJK(TransactionSignal tsI,
           TransactionSignal tsK)
    throws java.lang.Exception

IJK Constructor

Parameters:

tsI - The "I" Transaction Signal

tsK - The "K" Transaction Signal

Throws:

java.lang.Exception - Thrown if the Inputs are Invalid

Method Detail

i

public TransactionSignal i()

The Almgren-Thum-Hauptmann-Li "I" Transaction Signal

Returns:

The Almgren-Thum-Hauptmann-Li "I" Transaction Signal

k

public TransactionSignal k()

The Almgren-Thum-Hauptmann-Li "K" Transaction Signal

Returns:

The Almgren-Thum-Hauptmann-Li "K" Transaction Signal

j

public TransactionSignal j()

The Almgren-Thum-Hauptmann-Li "J" Transaction Signal

Returns:

The Almgren-Thum-Hauptmann-Li "J" Transaction Signal