org.drip.execution.strategy

Class ContinuousTradingTrajectory

java.lang.Object

org.drip.execution.strategy.ContinuousTradingTrajectory

All Implemented Interfaces:

TradingTrajectory

Direct Known Subclasses:

EfficientTradingTrajectoryContinuous

public class ContinuousTradingTrajectory
extends java.lang.Object
implements TradingTrajectory

ContinuousTradingTrajectory holds the Continuous Trajectory of a Trading Block that is to be executed over the Specified Horizon. 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
ContinuousTradingTrajectory(double dblExecutionTime, R1ToR1 r1ToR1Holdings, R1ToR1 r1ToR1TradeRate, R1ToR1 r1ToR1TransactionCostExpectation, R1ToR1 r1ToR1TransactionCostVariance) ContinuousTradingTrajectory Constructor

Method Summary

Modifier and Type	Method and Description
double	executedBlockSize() Retrieve the Executed Block Size
double	executionTime() Retrieve the Execution Time
R1ToR1	holdings() Retrieve the Holdings Function
double	instantTradeRate() Retrieve the Instant Trade Rate
static ContinuousTradingTrajectory	Standard(double dblExecutionTime, R1ToR1 r1ToR1Holdings, R1ToR1 r1ToR1TransactionCostExpectation, R1ToR1 r1ToR1TransactionCostVariance) Construct a Standard Instance of ContinuousTradingTrajectory
R1ToR1	tradeRate() Retrieve the Trade Rate Function
double	tradeSize() Retrieve the Trade Size
R1ToR1	transactionCostExpectationFunction() Retrieve the Transaction Cost Expectation Function
R1ToR1	transactionCostVarianceFunction() Retrieve the Transaction Cost Variance Function

Methods inherited from class java.lang.Object

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

Constructor Detail

ContinuousTradingTrajectory

public ContinuousTradingTrajectory(double dblExecutionTime,
                                   R1ToR1 r1ToR1Holdings,
                                   R1ToR1 r1ToR1TradeRate,
                                   R1ToR1 r1ToR1TransactionCostExpectation,
                                   R1ToR1 r1ToR1TransactionCostVariance)
                            throws java.lang.Exception

ContinuousTradingTrajectory Constructor

Parameters:

dblExecutionTime - The Execution Time

r1ToR1Holdings - The Holdings Function

r1ToR1TradeRate - The 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 final ContinuousTradingTrajectory Standard(double dblExecutionTime,
                                                         R1ToR1 r1ToR1Holdings,
                                                         R1ToR1 r1ToR1TransactionCostExpectation,
                                                         R1ToR1 r1ToR1TransactionCostVariance)

Construct a Standard Instance of ContinuousTradingTrajectory

Parameters:

dblExecutionTime - The Execution Time

r1ToR1Holdings - The Holdings Function

r1ToR1TransactionCostExpectation - The Transaction Cost Expectation Function

r1ToR1TransactionCostVariance - The Transaction Cost Variance Function

Returns:

Standard Instance of ContinuousTradingTrajectory

tradeSize

public double tradeSize()

Description copied from interface: TradingTrajectory

Retrieve the Trade Size

Specified by:

tradeSize in interface TradingTrajectory

Returns:

The Trade Size

executedBlockSize

public double executedBlockSize()

Description copied from interface: TradingTrajectory

Retrieve the Executed Block Size

Specified by:

executedBlockSize in interface TradingTrajectory

Returns:

The Executed Block Size

executionTime

public double executionTime()

Description copied from interface: TradingTrajectory

Retrieve the Execution Time

Specified by:

executionTime in interface TradingTrajectory

Returns:

The Execution Time

instantTradeRate

public double instantTradeRate()

Description copied from interface: TradingTrajectory

Retrieve the Instant Trade Rate

Specified by:

instantTradeRate in interface TradingTrajectory

Returns:

The Instant Trade Rate

holdings

public R1ToR1 holdings()

Retrieve the Holdings Function

Returns:

The Holdings Function

tradeRate

public R1ToR1 tradeRate()

Retrieve the Trade Rate Function

Returns:

The Trade Rate Function

transactionCostExpectationFunction

public R1ToR1 transactionCostExpectationFunction()

Retrieve the Transaction Cost Expectation Function

Returns:

The Transaction Cost Expectation Function

transactionCostVarianceFunction

public R1ToR1 transactionCostVarianceFunction()

Retrieve the Transaction Cost Variance Function

Returns:

The Transaction Cost Variance Function