org.drip.execution.discrete

Class OptimalSerialCorrelationAdjustment

java.lang.Object

org.drip.execution.discrete.OptimalSerialCorrelationAdjustment

public class OptimalSerialCorrelationAdjustment
extends java.lang.Object

OptimalSerialCorrelationAdjustment contains an Estimate of the Optimal Adjustments attributable to Cross Period Serial Price Correlations over the Slice Time Interval. 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
OptimalSerialCorrelationAdjustment(double dblHoldingsShift, double dblGain) OptimalSerialCorrelationAdjustment Constructor

Method Summary

Modifier and Type	Method and Description
double	gain() Retrieve the Optimal Gain
double	holdingsShift() Retrieve the Optimal Holdings Shift

Methods inherited from class java.lang.Object

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

Constructor Detail

OptimalSerialCorrelationAdjustment

public OptimalSerialCorrelationAdjustment(double dblHoldingsShift,
                                          double dblGain)
                                   throws java.lang.Exception

OptimalSerialCorrelationAdjustment Constructor

Parameters:

dblHoldingsShift - The Optimal Holdings Shift

dblGain - The Optimal Gain

Throws:

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

Method Detail

gain

public double gain()

Retrieve the Optimal Gain

Returns:

The Optimal Gain

holdingsShift

public double holdingsShift()

Retrieve the Optimal Holdings Shift

Returns:

The Optimal Holdings Shift