org.drip.execution.athl

Class TransactionSignal

java.lang.Object

org.drip.execution.athl.TransactionSignal

public class TransactionSignal
extends java.lang.Object

TransactionSignal holds the Realized Empirical Signals that have been emitted off of a Transaction Run, decomposed using the Scheme by Almgren, Thum, Hauptmann, and Li (2005), based off of 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
TransactionSignal(double dblDrift, double dblIWander, double dblJWander) TransactionSignal Constructor

Method Summary

Modifier and Type	Method and Description
double	drift() Retrieve the Drift of the Transaction Signal
double	iWander() Retrieve the "I" Component Wander of the Transaction Signal
double	jWander() Retrieve the "J" Component Wander of the Transaction Signal

Methods inherited from class java.lang.Object

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

Constructor Detail

TransactionSignal

public TransactionSignal(double dblDrift,
                         double dblIWander,
                         double dblJWander)
                  throws java.lang.Exception

TransactionSignal Constructor

Parameters:

dblDrift - The Signal Drift

dblIWander - The "I" Signal Wander

dblJWander - The "J" Signal Wander

Throws:

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

Method Detail

drift

public double drift()

Retrieve the Drift of the Transaction Signal

Returns:

The Drift of the Transaction Signal

iWander

public double iWander()

Retrieve the "I" Component Wander of the Transaction Signal

Returns:

The "I" Component Wander of the Transaction Signal

jWander

public double jWander()

Retrieve the "J" Component Wander of the Transaction Signal

Returns:

The "J" Component Wander of the Transaction Signal