org.drip.execution.strategy

Class DiscreteTradingTrajectoryControl

java.lang.Object

org.drip.execution.strategy.DiscreteTradingTrajectoryControl

public class DiscreteTradingTrajectoryControl
extends java.lang.Object

DiscreteTradingTrajectoryControl holds the Time Trajectory Control Settings of a Trading Block that is to be executed over a Discrete Time Sequence. 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
DiscreteTradingTrajectoryControl(double dblStartHoldings, double[] adblExecutionTimeNode) DiscreteTradingTrajectoryControl Constructor

Method Summary

Modifier and Type	Method and Description
double[]	executionTimeNodes() Retrieve the Array containing the Execution Time Nodes
double	finishTime() Retrieve the Finish Time of the Trading Trajectory
static DiscreteTradingTrajectoryControl	FixedInterval(OrderSpecification os, int iNumInterval) Create a DiscreteTradingTrajectoryControl from Fixed Intervals
OrderSpecification	order() Generate the Order Specification corresponding to the Trajectory Control
static DiscreteTradingTrajectoryControl	SingleInterval(OrderSpecification os) Create a Single Interval DiscreteTradingTrajectoryControl Instance from the Order Specification
double	startHoldings() Retrieve the Initial Holdings, i.e., the Starting Number of Units to the Executed

Methods inherited from class java.lang.Object

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

Constructor Detail

DiscreteTradingTrajectoryControl

public DiscreteTradingTrajectoryControl(double dblStartHoldings,
                                        double[] adblExecutionTimeNode)
                                 throws java.lang.Exception

DiscreteTradingTrajectoryControl Constructor

Parameters:

dblStartHoldings - Trajectory Start Holdings

adblExecutionTimeNode - Array of the Trajectory Time Snapshots

Throws:

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

Method Detail

FixedInterval

public static final DiscreteTradingTrajectoryControl FixedInterval(OrderSpecification os,
                                                                   int iNumInterval)

Create a DiscreteTradingTrajectoryControl from Fixed Intervals

Parameters:

os - The Order Specification

iNumInterval - The Number of Fixed Intervals

Returns:

The DiscreteTradingTrajectoryControl from Fixed Intervals

SingleInterval

public static final DiscreteTradingTrajectoryControl SingleInterval(OrderSpecification os)

Create a Single Interval DiscreteTradingTrajectoryControl Instance from the Order Specification

Parameters:

os - The Order Specification

Returns:

The Single Interval DiscreteTradingTrajectoryControl Instance from the Order Specification

finishTime

public double finishTime()

Retrieve the Finish Time of the Trading Trajectory

Returns:

The Finish Time of the Trading Trajectory

executionTimeNodes

public double[] executionTimeNodes()

Retrieve the Array containing the Execution Time Nodes

Returns:

The Array containing the Execution Time Nodes

startHoldings

public double startHoldings()

Retrieve the Initial Holdings, i.e., the Starting Number of Units to the Executed

Returns:

The Initial Holdings, i.e., the Starting Number of Units to the Executed

order

public OrderSpecification order()

Generate the Order Specification corresponding to the Trajectory Control

Returns:

The Order Specificaton Instance