Package org.drip.execution.athl

Class CalibrationEmpirics

java.lang.Object

org.drip.execution.athl.CalibrationEmpirics

public class CalibrationEmpirics
extends java.lang.Object

CalibrationEmpirics contains the Universal Market Impact Exponent/Coefficients that have been determined empirically by Almgren, Thum, Hauptmann, and Li (2005), using the Parameterization of Almgren (2003). It provides the following Functions:

• Almgren, Thum, Hauptmann, and Li (2005) Universal Permanent Impact Exponent
• Almgren, Thum, Hauptmann, and Li (2005) Universal Permanent Impact Exponent One Sigma
• Quasi-Arbitrage Free Universal Permanent Impact Exponent
• Universal Permanent Impact Exponent
• Universal Permanent Impact Coefficient
• Universal Permanent Impact Coefficient One Sigma
• The ATHL2005 Permanent Impact Inverse Turnover Coefficient
• The ATHL2005 Permanent Impact Inverse Turnover Coefficient One Sigma Error
• The Universal Permanent Impact Inverse Turnover Coefficient
• Universal Temporary Impact Exponent
• Universal Temporary Impact Exponent One Sigma
• Universal Temporary Impact Coefficient
• Universal Temporary Impact Coefficient One Sigma

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
• Almgren, R. (2003): Optimal Execution with Nonlinear Impact Functions and Trading-Enhanced Risk Applied Mathematical Finance 10 (1) 1-18
• Almgren, R., and N. Chriss (2003): Bidding Principles Risk 97-102
• Almgren, R., C. Thum, E. Hauptmann, and H. Li (2005): Equity Market Impact Risk 18 (7) 57-62

Module	Computational Core Module
Library	Numerical Optimizer Library
Project	Optimal Impact/Capture Based Trading Trajectories - Deterministic, Stochastic, Static, and Dynamic
Package	Almgren-Thum-Hauptmann-Li Calibration

Author:

Lakshmi Krishnamurthy

Field Summary

Fields

Modifier and Type	Field	Description
static double	PERMANENT_IMPACT_COEFFICIENT	Universal Permanent Impact Coefficient
static double	PERMANENT_IMPACT_COEFFICIENT_ONE_SIGMA	Universal Permanent Impact Coefficient One Sigma
static double	PERMANENT_IMPACT_EXPONENT	Universal Permanent Impact Exponent
static double	PERMANENT_IMPACT_EXPONENT_ATHL2005	Almgren, Thum, Hauptmann, and Li (2005) Universal Permanent Impact Exponent
static double	PERMANENT_IMPACT_EXPONENT_ATHL2005_ONE_SIGMA	Almgren, Thum, Hauptmann, and Li (2005) Universal Permanent Impact Exponent One Sigma
static double	PERMANENT_IMPACT_EXPONENT_QUASI_ARBITRAGE_FREE	Quasi-Arbitrage Free Universal Permanent Impact Exponent
static double	PERMANENT_IMPACT_INVERSE_TURNOVER_EXPONENT	The Universal Permanent Impact Inverse Turnover Coefficient
static double	PERMANENT_IMPACT_INVERSE_TURNOVER_EXPONENT_ATHL2005	The ATHL2005 Permanent Impact Inverse Turnover Coefficient
static double	PERMANENT_IMPACT_INVERSE_TURNOVER_EXPONENT_ATHL2005_ONE_SIGMA	The ATHL2005 Permanent Impact Inverse Turnover Coefficient One Sigma Error
static double	TEMPORARY_IMPACT_COEFFICIENT	Universal Temporary Impact Coefficient
static double	TEMPORARY_IMPACT_COEFFICIENT_ONE_SIGMA	Universal Temporary Impact Coefficient One Sigma
static double	TEMPORARY_IMPACT_EXPONENT	Universal Temporary Impact Exponent
static double	TEMPORARY_IMPACT_EXPONENT_ONE_SIGMA	Universal Temporary Impact Exponent One Sigma

Constructor Summary

Constructors

Constructor	Description
CalibrationEmpirics()

Method Summary

Methods inherited from class java.lang.Object

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

Field Details

PERMANENT_IMPACT_EXPONENT_ATHL2005

public static final double PERMANENT_IMPACT_EXPONENT_ATHL2005

Almgren, Thum, Hauptmann, and Li (2005) Universal Permanent Impact Exponent

See Also:

Constant Field Values

PERMANENT_IMPACT_EXPONENT_ATHL2005_ONE_SIGMA

public static final double PERMANENT_IMPACT_EXPONENT_ATHL2005_ONE_SIGMA

Almgren, Thum, Hauptmann, and Li (2005) Universal Permanent Impact Exponent One Sigma

See Also:

Constant Field Values

PERMANENT_IMPACT_EXPONENT_QUASI_ARBITRAGE_FREE

public static final double PERMANENT_IMPACT_EXPONENT_QUASI_ARBITRAGE_FREE

Quasi-Arbitrage Free Universal Permanent Impact Exponent

See Also:

Constant Field Values

PERMANENT_IMPACT_EXPONENT

public static final double PERMANENT_IMPACT_EXPONENT

Universal Permanent Impact Exponent

See Also:

Constant Field Values

PERMANENT_IMPACT_COEFFICIENT

public static final double PERMANENT_IMPACT_COEFFICIENT

Universal Permanent Impact Coefficient

See Also:

Constant Field Values

PERMANENT_IMPACT_COEFFICIENT_ONE_SIGMA

public static final double PERMANENT_IMPACT_COEFFICIENT_ONE_SIGMA

Universal Permanent Impact Coefficient One Sigma

See Also:

Constant Field Values

PERMANENT_IMPACT_INVERSE_TURNOVER_EXPONENT_ATHL2005

public static final double PERMANENT_IMPACT_INVERSE_TURNOVER_EXPONENT_ATHL2005

The ATHL2005 Permanent Impact Inverse Turnover Coefficient

See Also:

Constant Field Values

PERMANENT_IMPACT_INVERSE_TURNOVER_EXPONENT_ATHL2005_ONE_SIGMA

public static final double PERMANENT_IMPACT_INVERSE_TURNOVER_EXPONENT_ATHL2005_ONE_SIGMA

The ATHL2005 Permanent Impact Inverse Turnover Coefficient One Sigma Error

See Also:

Constant Field Values

PERMANENT_IMPACT_INVERSE_TURNOVER_EXPONENT

public static final double PERMANENT_IMPACT_INVERSE_TURNOVER_EXPONENT

The Universal Permanent Impact Inverse Turnover Coefficient

See Also:

Constant Field Values

TEMPORARY_IMPACT_EXPONENT

public static final double TEMPORARY_IMPACT_EXPONENT

Universal Temporary Impact Exponent

See Also:

Constant Field Values

TEMPORARY_IMPACT_EXPONENT_ONE_SIGMA

public static final double TEMPORARY_IMPACT_EXPONENT_ONE_SIGMA

Universal Temporary Impact Exponent One Sigma

See Also:

Constant Field Values

TEMPORARY_IMPACT_COEFFICIENT

public static final double TEMPORARY_IMPACT_COEFFICIENT

Universal Temporary Impact Coefficient

See Also:

Constant Field Values

TEMPORARY_IMPACT_COEFFICIENT_ONE_SIGMA

public static final double TEMPORARY_IMPACT_COEFFICIENT_ONE_SIGMA

Universal Temporary Impact Coefficient One Sigma

See Also:

Constant Field Values

Constructor Details

CalibrationEmpirics

public CalibrationEmpirics()