org.drip.execution.optimum

Class PowerImpactContinuous

java.lang.Object

org.drip.execution.strategy.ContinuousTradingTrajectory

org.drip.execution.optimum.EfficientTradingTrajectoryContinuous

org.drip.execution.optimum.PowerImpactContinuous

All Implemented Interfaces:

EfficientTradingTrajectory, TradingTrajectory

public class PowerImpactContinuous
extends EfficientTradingTrajectoryContinuous

PowerImpactContinuous contains the Trading Trajectory generated by the Almgren (2003) Power Impact Scheme under the Criterion of No-Drift. 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

PowerImpactContinuous(double dblExecutionTime, double dblTransactionCostExpectation, double dblTransactionCostVariance, double dblCharacteristicTime, double dblExecutionTimeUpperBound, double dblHyperboloidBoundaryValue, double dblMarketPower, R1ToR1 r1ToR1Holdings, R1ToR1 r1ToR1TradeRate, R1ToR1 r1ToR1TransactionCostExpectation, R1ToR1 r1ToR1TransactionCostVariance) PowerImpactContinuous Constructor

Method Summary

Modifier and Type	Method and Description
double	executionTimeUpperBound() Retrieve the Optimal Trajectory Execution Time Upper Bound (if it exists)
double	hyperboloidBoundaryValue() Retrieve the Optimal Trajectory Hyperboloid Boundary Value
static PowerImpactContinuous	Standard(double dblExecutionTime, double dblTransactionCostExpectation, double dblTransactionCostVariance, double dblCharacteristicTime, double dblExecutionTimeUpperBound, double dblHyperboloidBoundaryValue, double dblMarketPower, R1ToR1 r1ToR1Holdings, R1ToR1 r1ToR1TransactionCostExpectation, R1ToR1 r1ToR1TransactionCostVariance) Construct the Standard PowerImpactContinuous Instance

Methods inherited from class org.drip.execution.optimum.EfficientTradingTrajectoryContinuous

characteristicTime, marketPower, transactionCostExpectation, transactionCostVariance, 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

PowerImpactContinuous

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

PowerImpactContinuous 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

dblExecutionTimeUpperBound - The Optimal Trajectory's Execution Time Upper Bound (if it exists)

dblHyperboloidBoundaryValue - The Hyperboloid Boundary Value

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

Standard

public static PowerImpactContinuous Standard(double dblExecutionTime,
                                             double dblTransactionCostExpectation,
                                             double dblTransactionCostVariance,
                                             double dblCharacteristicTime,
                                             double dblExecutionTimeUpperBound,
                                             double dblHyperboloidBoundaryValue,
                                             double dblMarketPower,
                                             R1ToR1 r1ToR1Holdings,
                                             R1ToR1 r1ToR1TransactionCostExpectation,
                                             R1ToR1 r1ToR1TransactionCostVariance)

Construct the Standard PowerImpactContinuous Instance

Parameters:

dblExecutionTime - The Execution Time

dblTransactionCostExpectation - The Expected Transaction Cost

dblTransactionCostVariance - The Variance of the Transaction Cost

dblCharacteristicTime - The Optimal Trajectory's "Characteristic" Time

dblExecutionTimeUpperBound - The Optimal Trajectory's Execution Time Upper Bound (if it exists)

dblHyperboloidBoundaryValue - The Hyperboloid Boundary Value

dblMarketPower - The Dimension-less Relative Market Impact

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

r1ToR1TransactionCostExpectation - The Transaction Cost Expectation Function

r1ToR1TransactionCostVariance - The Transaction Cost Variance Function

Returns:

The Standard PowerImpactContinuous Instance

executionTimeUpperBound

public double executionTimeUpperBound()

Retrieve the Optimal Trajectory Execution Time Upper Bound (if it exists)

Returns:

The Optimal Trajectory Execution Time Upper Bound (if it exists)

hyperboloidBoundaryValue

public double hyperboloidBoundaryValue()

Retrieve the Optimal Trajectory Hyperboloid Boundary Value

Returns:

The Optimal Trajectory Hyperboloid Boundary Value