org.drip.execution.discrete

Class EvolutionIncrement

java.lang.Object

org.drip.execution.evolution.MarketImpactComponent

org.drip.execution.evolution.MarketImpactComposite

org.drip.execution.discrete.EvolutionIncrement

Direct Known Subclasses:

PriceIncrement, ShortfallIncrement

public class EvolutionIncrement
extends MarketImpactComposite

EvolutionIncrement contains the Realized Stochastic Evolution Increments of the Price/Short-fall exhibited by an Asset owing to the Volatility and the Market Impact Factors over the Slice Time Interval. It is composed of Stochastic and Deterministic Price Increment Components. 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
EvolutionIncrement(MarketImpactComponent micDeterministic, MarketImpactComponent micStochastic) EvolutionIncrement Constructor

Method Summary

Modifier and Type	Method and Description
double	marketDynamicDrift() Retrieve the Change induced by Deterministic Asset Price Market Dynamic Drivers
double	marketDynamicWander() Retrieve the Change induced by Stochastic Asset Price Market Dynamic Drivers
double	permanentImpactDrift() Retrieve the Change induced by the Deterministic Asset Price Permanent Market Impact Drivers
double	permanentImpactWander() Retrieve the Change induced by the Stochastic Asset Price Permanent Market Impact Drivers
double	temporaryImpactDrift() Retrieve the Change induced by the Deterministic Asset Price Temporary Market Impact Drivers
double	temporaryImpactWander() Retrieve the Change induced by the Stochastic Asset Price Temporary Market Impact Drivers

Methods inherited from class org.drip.execution.evolution.MarketImpactComposite

deterministic, Standard, stochastic

Methods inherited from class org.drip.execution.evolution.MarketImpactComponent

currentStep, permanentImpact, previousStep, temporaryImpact, total

Methods inherited from class java.lang.Object

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

Constructor Detail

EvolutionIncrement

public EvolutionIncrement(MarketImpactComponent micDeterministic,
                          MarketImpactComponent micStochastic)
                   throws java.lang.Exception

EvolutionIncrement Constructor

Parameters:

micDeterministic - The Deterministic Market Impact Component Instance

micStochastic - The Stochastic Market Impact Component Instance

Throws:

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

Method Detail

marketDynamicDrift

public double marketDynamicDrift()

Retrieve the Change induced by Deterministic Asset Price Market Dynamic Drivers

Returns:

The Change induced by Deterministic Asset Price Market Dynamic Drivers

marketDynamicWander

public double marketDynamicWander()

Retrieve the Change induced by Stochastic Asset Price Market Dynamic Drivers

Returns:

The Change induced by Stochastic Asset Price Market Dynamic Drivers

permanentImpactDrift

public double permanentImpactDrift()

Retrieve the Change induced by the Deterministic Asset Price Permanent Market Impact Drivers

Returns:

The Change induced by the Deterministic Asset Price Permanent Market Impact Drivers

permanentImpactWander

public double permanentImpactWander()

Retrieve the Change induced by the Stochastic Asset Price Permanent Market Impact Drivers

Returns:

The Change induced by the Stochastic Asset Price Permanent Market Impact Drivers

temporaryImpactDrift

public double temporaryImpactDrift()

Retrieve the Change induced by the Deterministic Asset Price Temporary Market Impact Drivers

Returns:

The Change induced by the Deterministic Asset Price Temporary Market Impact Drivers

temporaryImpactWander

public double temporaryImpactWander()

Retrieve the Change induced by the Stochastic Asset Price Temporary Market Impact Drivers

Returns:

The Change induced by the Stochastic Asset Price Temporary Market Impact Drivers