org.drip.execution.optimum

Interface EfficientTradingTrajectory

All Superinterfaces:

TradingTrajectory

All Known Implementing Classes:

AlmgrenChrissDiscrete, AlmgrenChrissDriftDiscrete, EfficientTradingTrajectoryContinuous, EfficientTradingTrajectoryDiscrete, PowerImpactContinuous, TradingEnhancedDiscrete

public interface EfficientTradingTrajectory
extends TradingTrajectory

EfficientTradingTrajectory contains the Efficient Trading Trajectory generated by one of the Methods outlined in the Almgren and Chriss (2000) and Almgren (2003) Scheme for Discrete and Continuous Trading Approximation respectively. 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. - Bertsimas, D., and A. W. Lo (1998): Optimal Control of Execution Costs, Journal of Financial Markets, 1, 1-50.

Author:

Lakshmi Krishnamurthy

Method Summary

Modifier and Type	Method and Description
double	marketPower() Retrieve the Intrinsic Market Power Parameter
double	transactionCostExpectation() Retrieve the Expected Transaction Cost
double	transactionCostVariance() Retrieve the Variance of the Expected Transaction Cost

Methods inherited from interface org.drip.execution.strategy.TradingTrajectory

executedBlockSize, executionTime, instantTradeRate, tradeSize

Method Detail

marketPower

double marketPower()

Retrieve the Intrinsic Market Power Parameter

Returns:

The Intrinsic Market Power Parameter

transactionCostExpectation

double transactionCostExpectation()

Retrieve the Expected Transaction Cost

Returns:

The Expected Transaction Cost

transactionCostVariance

double transactionCostVariance()

Retrieve the Variance of the Expected Transaction Cost

Returns:

The Variance of the Expected Transaction Cost