org.drip.execution.strategy

Class DiscreteTradingTrajectory

java.lang.Object

org.drip.execution.strategy.DiscreteTradingTrajectory

All Implemented Interfaces:

TradingTrajectory

Direct Known Subclasses:

EfficientTradingTrajectoryDiscrete, MinimumImpactTradingTrajectory

public class DiscreteTradingTrajectory
extends java.lang.Object
implements TradingTrajectory

DiscreteTradingTrajectory holds the Trajectory of a Trading Block that is to be executed over a Discrete Time Set. 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
DiscreteTradingTrajectory(double[] adblExecutionTimeNode, double[] adblHoldings, double[] adblTradeList) DiscreteTradingTrajectory Constructor

Method Summary

Modifier and Type	Method and Description
double	executedBlockSize() Retrieve the Executed Block Size
double	executionTime() Retrieve the Execution Time
double[]	executionTimeNode() Retrieve the Array containing the Execution Time Nodes Sequence
double[]	holdings() Retrieve the Array of the Number of Units Outstanding
double[]	innerHoldings() Retrieve the Array of the Inner Holdings
double	instantTradeRate() Retrieve the Instant Trade Rate
static DiscreteTradingTrajectory	Linear(double[] adblExecutionTimeNode, double dblStartHoldings, double dblFinishHoldings) Construct a Linear DiscreteTradingTrajectory Instance
int	numberOfTrades() Retrieve the Number of Trades
static DiscreteTradingTrajectory	Standard(double[] adblExecutionTimeNode, double[] adblHoldings) Construct a Standard DiscreteTradingTrajectory Instance
double[]	tradeList() Retrieve the Trade List, i.e., the Array of the Number of Units executed
double	tradeSize() Retrieve the Trade Size

Methods inherited from class java.lang.Object

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

Constructor Detail

DiscreteTradingTrajectory

public DiscreteTradingTrajectory(double[] adblExecutionTimeNode,
                                 double[] adblHoldings,
                                 double[] adblTradeList)
                          throws java.lang.Exception

DiscreteTradingTrajectory Constructor

Parameters:

adblExecutionTimeNode - Array containing the Trajectory Time Nodes

adblHoldings - Array containing the Holdings

adblTradeList - Array containing the Trade List

Throws:

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

Method Detail

Standard

public static DiscreteTradingTrajectory Standard(double[] adblExecutionTimeNode,
                                                 double[] adblHoldings)

Construct a Standard DiscreteTradingTrajectory Instance

Parameters:

adblExecutionTimeNode - Array containing the Trajectory Time Nodes

adblHoldings - Array containing the Holdings

Returns:

The DiscreteTradingTrajectory Instance

Linear

public static final DiscreteTradingTrajectory Linear(double[] adblExecutionTimeNode,
                                                     double dblStartHoldings,
                                                     double dblFinishHoldings)

Construct a Linear DiscreteTradingTrajectory Instance

Parameters:

adblExecutionTimeNode - Array of the Execution Time Nodes

dblStartHoldings - Trajectory Start Holdings

dblFinishHoldings - Trajectory Finish Holdings

Returns:

The Linear TradingTrajectory Instance

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

executionTimeNode

public double[] executionTimeNode()

Retrieve the Array containing the Execution Time Nodes Sequence

Returns:

The Array containing the Execution Time Nodes Sequence

holdings

public double[] holdings()

Retrieve the Array of the Number of Units Outstanding

Returns:

The Array of the Number of Units Outstanding

tradeList

public double[] tradeList()

Retrieve the Trade List, i.e., the Array of the Number of Units executed

Returns:

The Trade List, i.e., the Array of the Number of Units executed

numberOfTrades

public int numberOfTrades()

Retrieve the Number of Trades

Returns:

The Number of Trades

innerHoldings

public double[] innerHoldings()

Retrieve the Array of the Inner Holdings

Returns:

The Array of the Inner Holdings