org.drip.execution.strategy

Interface TradingTrajectory

All Known Subinterfaces:

EfficientTradingTrajectory

All Known Implementing Classes:

AlmgrenChrissDiscrete, AlmgrenChrissDriftDiscrete, ContinuousTradingTrajectory, DiscreteTradingTrajectory, EfficientTradingTrajectoryContinuous, EfficientTradingTrajectoryDiscrete, MinimumImpactTradingTrajectory, MinimumVarianceTradingTrajectory, PowerImpactContinuous, TradingEnhancedDiscrete

public interface TradingTrajectory

TradingTrajectory holds the Continuous/Discrete 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

Method Summary

Modifier and Type	Method and Description
double	executedBlockSize() Retrieve the Executed Block Size
double	executionTime() Retrieve the Execution Time
double	instantTradeRate() Retrieve the Instant Trade Rate
double	tradeSize() Retrieve the Trade Size

Method Detail

tradeSize

double tradeSize()

Retrieve the Trade Size

Returns:

The Trade Size

executionTime

double executionTime()

Retrieve the Execution Time

Returns:

The Execution Time

executedBlockSize

double executedBlockSize()

Retrieve the Executed Block Size

Returns:

The Executed Block Size

instantTradeRate

double instantTradeRate()

Retrieve the Instant Trade Rate

Returns:

The Instant Trade Rate