Package org.drip.execution.athl

Class DynamicsParameters

java.lang.Object

org.drip.execution.athl.DynamicsParameters

public class DynamicsParameters
extends java.lang.Object

DynamicsParameters generates the Variants of the Market Dynamics Parameters constructed using the Methodologies presented in Almgren, Thum, Hauptmann, and Li (2005), using the Parameterization of Almgren (2003). 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 = Product Core Module
• Library = Transaction Cost Analytics
• Project = Optimal Impact/Capture Based Trading Trajectories - Deterministic, Stochastic, Static, and Dynamic
• Package = Almgren-Thum-Hauptmann-Li Calibration

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor	Description
DynamicsParameters(AssetFlowSettings afp)	DynamicsParameters Constructor

Method Summary

Modifier and Type	Method	Description
LinearPermanentExpectationParameters	almgren2003()	Generate an Instance of the Almgren 2003 Dynamics Parameters
AssetFlowSettings	assetFlowParameters()	Retrieve the Asset Flow Parameters Instance

Methods inherited from class java.lang.Object

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

Constructor Details

DynamicsParameters

public DynamicsParameters(AssetFlowSettings afp)
                   throws java.lang.Exception

DynamicsParameters Constructor

Parameters:

afp - The Asset Flow Parameters Instance

Throws:

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

Method Details

assetFlowParameters

public AssetFlowSettings assetFlowParameters()

Retrieve the Asset Flow Parameters Instance

Returns:

The Asset Flow Parameters Instance

almgren2003

public LinearPermanentExpectationParameters almgren2003()

Generate an Instance of the Almgren 2003 Dynamics Parameters

Returns:

Instance of the Almgren 2003 Dynamics Parameters