org.drip.execution.strategy

Class MinimumVarianceTradingTrajectory

java.lang.Object

org.drip.execution.strategy.DiscreteTradingTrajectory

org.drip.execution.strategy.MinimumImpactTradingTrajectory

org.drip.execution.strategy.MinimumVarianceTradingTrajectory

All Implemented Interfaces:

TradingTrajectory

public class MinimumVarianceTradingTrajectory
extends MinimumImpactTradingTrajectory

MinimumVarianceTradingTrajectory holds the Trajectory of a Trading Block that is to be executed in a Single Block, the Idea being to minimize the Trading Variance. 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
MinimumVarianceTradingTrajectory(double dblStartTime, double dblFinishTime, double dblStartHoldings, double dblFinishHoldings) MinimumVarianceTradingTrajectory Constructor

Method Summary

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

Standard, tradeRate, tradeSize, tradeTimeInterval

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

executedBlockSize, executionTime, executionTimeNode, holdings, innerHoldings, instantTradeRate, Linear, numberOfTrades, Standard, tradeList

Methods inherited from class java.lang.Object

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

Constructor Detail

MinimumVarianceTradingTrajectory

public MinimumVarianceTradingTrajectory(double dblStartTime,
                                        double dblFinishTime,
                                        double dblStartHoldings,
                                        double dblFinishHoldings)
                                 throws java.lang.Exception

MinimumVarianceTradingTrajectory Constructor

Parameters:

dblStartTime - The Execution Start Time

dblFinishTime - The Execution Finish Time

dblStartHoldings - The Execution Start Holdings

dblFinishHoldings - The Execution Finish Holdings

Throws:

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