org.drip.execution.impact

Class TransactionFunctionPower

java.lang.Object

org.drip.function.definition.R1ToR1

org.drip.execution.impact.TransactionFunction

org.drip.execution.impact.TransactionFunctionPower

Direct Known Subclasses:

ParticipationRatePower, PermanentImpactQuasiArbitrage, TemporaryImpact

public abstract class TransactionFunctionPower
extends TransactionFunction

TransactionFunctionPower exposes the Power Law Impact Function Stubs as defined in Almgren and Chriss (2000) and 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
TransactionFunctionPower()

Method Summary

Modifier and Type	Method and Description
abstract double	constant() Retrieve the Constant Market Impact Parameter
abstract double	exponent() Retrieve the Power Law Exponent Market Impact Parameter

Methods inherited from class org.drip.execution.impact.TransactionFunction

crossHoldingsDerivative, evaluate, leftHoldingsDerivative, modulate, regularize, rightHoldingsDerivative

Methods inherited from class org.drip.function.definition.R1ToR1

derivative, differential, differential, evaluate, integrate, maxima, maxima, minima, minima

Methods inherited from class java.lang.Object

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

Constructor Detail

TransactionFunctionPower

public TransactionFunctionPower()

Method Detail

constant

public abstract double constant()

Retrieve the Constant Market Impact Parameter

Returns:

The Constant Market Impact Parameter

exponent

public abstract double exponent()

Retrieve the Power Law Exponent Market Impact Parameter

Returns:

The Power Law Exponent Market Impact Parameter