org.drip.execution.capture

Class TrajectoryShortfallAggregate

java.lang.Object

org.drip.execution.capture.TrajectoryShortfallAggregate

public class TrajectoryShortfallAggregate
extends java.lang.Object

TrajectoryShortfallAggregate aggregates the Execution Short-fall Distribution across each Interval in the Trade. 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. - Bertsimas, D., and A. W. Lo (1998): Optimal Control of Execution Costs, Journal of Financial Markets, 1, 1-50. - Chan, L. K. C., and J. Lakonishak (1995): The Behavior of Stock Prices around Institutional Trades, Journal of Finance, 50, 1147-1174. - Keim, D. B., and A. Madhavan (1997): Transaction Costs and Investment Style: An Inter-exchange Analysis of Institutional Equity Trades, Journal of Financial Economics, 46, 265-292.

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor and Description
TrajectoryShortfallAggregate(java.util.List<ShortfallIncrementDistribution> lsSID) TrajectoryShortfallAggregate Constructor

Method Summary

Modifier and Type	Method and Description
double[]	cumulativeExpectation() Generate the Array of Cumulative Expectation Sequence
double[]	cumulativeMarketDynamicExpectation() Generate the Array of Cumulative Market Dynamic Expectation Sequence
double[]	cumulativePermanentImpactExpectation() Generate the Array of Cumulative Permanent Impact Expectation Sequence
double[]	cumulativeTemporaryImpactExpectation() Generate the Array of Cumulative Temporary Impact Expectation Sequence
double[]	cumulativeVariance() Generate the Array of Cumulative Variance Sequence
double[]	incrementalExpectation() Generate the Array of Incremental Expectation Sequence
double[]	incrementalMarketDynamicExpectation() Generate the Array of Incremental Market Dynamic Expectation Sequence
double[]	incrementalPermanentImpactExpectation() Generate the Array of Incremental Permanent Impact Expectation Sequence
double[]	incrementalTemporaryImpactExpectation() Generate the Array of Incremental Temporary Impact Expectation Sequence
double[]	incrementalVariance() Generate the Array of Incremental Variance Sequence
java.util.List<ShortfallIncrementDistribution>	list() Retrieve the List of the Interval Cost Distributions
double	shortfallExpectation() Generate the Expected Short-fall
double	shortfallVariance() Generate the Short-fall Variance
R1UnivariateNormal	totalCostDistribution() Generate the Total Cost R^1 Normal Distribution

Methods inherited from class java.lang.Object

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

Constructor Detail

TrajectoryShortfallAggregate

public TrajectoryShortfallAggregate(java.util.List<ShortfallIncrementDistribution> lsSID)
                             throws java.lang.Exception

TrajectoryShortfallAggregate Constructor

Parameters:

lsSID - List of the Incremental Slice Short-fall Distributions

Throws:

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

Method Detail

list

public java.util.List<ShortfallIncrementDistribution> list()

Retrieve the List of the Interval Cost Distributions

Returns:

The List of the Interval Cost Distributions

totalCostDistribution

public R1UnivariateNormal totalCostDistribution()

Generate the Total Cost R^1 Normal Distribution

Returns:

The Total Cost R^1 Normal Distribution

incrementalExpectation

public double[] incrementalExpectation()

Generate the Array of Incremental Expectation Sequence

Returns:

The Array of Incremental Expectation Sequence

cumulativeExpectation

public double[] cumulativeExpectation()

Generate the Array of Cumulative Expectation Sequence

Returns:

The Array of Cumulative Expectation Sequence

incrementalVariance

public double[] incrementalVariance()

Generate the Array of Incremental Variance Sequence

Returns:

The Array of Incremental Variance Sequence

cumulativeVariance

public double[] cumulativeVariance()

Generate the Array of Cumulative Variance Sequence

Returns:

The Array of Cumulative Variance Sequence

incrementalMarketDynamicExpectation

public double[] incrementalMarketDynamicExpectation()

Generate the Array of Incremental Market Dynamic Expectation Sequence

Returns:

The Array of Incremental Market Dynamic Expectation Sequence

cumulativeMarketDynamicExpectation

public double[] cumulativeMarketDynamicExpectation()

Generate the Array of Cumulative Market Dynamic Expectation Sequence

Returns:

The Array of Cumulative Market Dynamic Expectation Sequence

incrementalPermanentImpactExpectation

public double[] incrementalPermanentImpactExpectation()

Generate the Array of Incremental Permanent Impact Expectation Sequence

Returns:

The Array of Incremental Permanent Impact Expectation Sequence

cumulativePermanentImpactExpectation

public double[] cumulativePermanentImpactExpectation()

Generate the Array of Cumulative Permanent Impact Expectation Sequence

Returns:

The Array of Cumulative Permanent Impact Expectation Sequence

incrementalTemporaryImpactExpectation

public double[] incrementalTemporaryImpactExpectation()

Generate the Array of Incremental Temporary Impact Expectation Sequence

Returns:

The Array of Incremental Temporary Impact Expectation Sequence

cumulativeTemporaryImpactExpectation

public double[] cumulativeTemporaryImpactExpectation()

Generate the Array of Cumulative Temporary Impact Expectation Sequence

Returns:

The Array of Cumulative Temporary Impact Expectation Sequence

shortfallExpectation

public double shortfallExpectation()

Generate the Expected Short-fall

Returns:

The Expected Short-fall

shortfallVariance

public double shortfallVariance()

Generate the Short-fall Variance

Returns:

The Short-fall Variance