org.drip.execution.optimum

Class EfficientTradingTrajectoryContinuous

java.lang.Object

org.drip.execution.strategy.ContinuousTradingTrajectory

org.drip.execution.optimum.EfficientTradingTrajectoryContinuous

All Implemented Interfaces:

EfficientTradingTrajectory, TradingTrajectory

Direct Known Subclasses:

PowerImpactContinuous

public class EfficientTradingTrajectoryContinuous
extends ContinuousTradingTrajectory
implements EfficientTradingTrajectory

EfficientTradingTrajectoryContinuous contains the Efficient Trading Trajectory generated by one of the Methods outlined in the Almgren (2003) Scheme for Continuous Trading Approximation. 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

Constructor Summary

Constructors

Constructor and Description
EfficientTradingTrajectoryContinuous(double dblExecutionTime, double dblTransactionCostExpectation, double dblTransactionCostVariance, double dblCharacteristicTime, double dblMarketPower, R1ToR1 r1ToR1Holdings, R1ToR1 r1ToR1TradeRate, R1ToR1 r1ToR1TransactionCostExpectation, R1ToR1 r1ToR1TransactionCostVariance) EfficientTradingTrajectoryContinuous Constructor

Method Summary

Modifier and Type	Method and Description
double	characteristicTime() Retrieve the Optimal Trajectory Characteristic Time
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
double	urgency() Retrieve the Optimal Trajectory Urgency

Methods inherited from class org.drip.execution.strategy.ContinuousTradingTrajectory

executedBlockSize, executionTime, holdings, instantTradeRate, Standard, tradeRate, tradeSize, transactionCostExpectationFunction, transactionCostVarianceFunction

Methods inherited from class java.lang.Object

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

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

executedBlockSize, executionTime, instantTradeRate, tradeSize

Constructor Detail

EfficientTradingTrajectoryContinuous

public EfficientTradingTrajectoryContinuous(double dblExecutionTime,
                                            double dblTransactionCostExpectation,
                                            double dblTransactionCostVariance,
                                            double dblCharacteristicTime,
                                            double dblMarketPower,
                                            R1ToR1 r1ToR1Holdings,
                                            R1ToR1 r1ToR1TradeRate,
                                            R1ToR1 r1ToR1TransactionCostExpectation,
                                            R1ToR1 r1ToR1TransactionCostVariance)
                                     throws java.lang.Exception

EfficientTradingTrajectoryContinuous Constructor

Parameters:

dblExecutionTime - The Execution Time

dblTransactionCostExpectation - The Expected Transaction Cost

dblTransactionCostVariance - The Variance of the Transaction Cost

dblCharacteristicTime - The Optimal Trajectory's "Characteristic" Time

dblMarketPower - The Dimension-less Relative Market Impact

r1ToR1Holdings - The Optimal Trajectory R^1 To R^1 Holdings Function

r1ToR1TradeRate - The Optimal Trajectory R^1 To R^1 Trade Rate Function

r1ToR1TransactionCostExpectation - The Transaction Cost Expectation Function

r1ToR1TransactionCostVariance - The Transaction Cost Variance Function

Throws:

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

Method Detail

marketPower

public double marketPower()

Description copied from interface: EfficientTradingTrajectory

Retrieve the Intrinsic Market Power Parameter

Specified by:

marketPower in interface EfficientTradingTrajectory

Returns:

The Intrinsic Market Power Parameter

transactionCostExpectation

public double transactionCostExpectation()

Description copied from interface: EfficientTradingTrajectory

Retrieve the Expected Transaction Cost

Specified by:

transactionCostExpectation in interface EfficientTradingTrajectory

Returns:

The Expected Transaction Cost

transactionCostVariance

public double transactionCostVariance()

Description copied from interface: EfficientTradingTrajectory

Retrieve the Variance of the Expected Transaction Cost

Specified by:

transactionCostVariance in interface EfficientTradingTrajectory

Returns:

The Variance of the Expected Transaction Cost

characteristicTime

public double characteristicTime()

Retrieve the Optimal Trajectory Characteristic Time

Returns:

The Optimal Trajectory Characteristic Time

urgency

public double urgency()

Retrieve the Optimal Trajectory Urgency

Returns:

The Optimal Trajectory Urgency