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). It provides the following Functions:
  • DynamicsParameters Constructor
  • Retrieve the Asset Flow Parameters Instance
  • Generate an Instance of the Almgren 2003 Dynamics Parameters
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

  • Constructor Details

    • DynamicsParameters

      public DynamicsParameters​(AssetFlowSettings assetFlowSettings) throws java.lang.Exception
      DynamicsParameters Constructor
      Parameters:
      assetFlowSettings - The Asset Flow Parameters Instance
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

  • Method Details

    • assetFlowSettings

      public AssetFlowSettings assetFlowSettings()
      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