Package org.drip.execution.athl

Class IJK

java.lang.Object
org.drip.execution.athl.IJK
public class IJK
extends java.lang.Object
IJK holds the Empirical Signals that have been emitted off of a Transaction Run using the Scheme by 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


Author:
Lakshmi Krishnamurthy

  • Constructor Summary

    Constructors
    Constructor Description
    IJK​(TransactionSignal tsI, TransactionSignal tsK)
    IJK Constructor

  • Method Summary

    Modifier and Type Method Description
    TransactionSignal i()
    The Almgren-Thum-Hauptmann-Li "I" Transaction Signal
    TransactionSignal j()
    The Almgren-Thum-Hauptmann-Li "J" Transaction Signal
    TransactionSignal k()
    The Almgren-Thum-Hauptmann-Li "K" Transaction Signal

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • IJK

      public IJK​(TransactionSignal tsI, TransactionSignal tsK) throws java.lang.Exception
      IJK Constructor
      Parameters:
      tsI - The "I" Transaction Signal
      tsK - The "K" Transaction Signal
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

  • Method Details

    • i

      public TransactionSignal i()
      The Almgren-Thum-Hauptmann-Li "I" Transaction Signal
      Returns:
      The Almgren-Thum-Hauptmann-Li "I" Transaction Signal

    • k

      public TransactionSignal k()
      The Almgren-Thum-Hauptmann-Li "K" Transaction Signal
      Returns:
      The Almgren-Thum-Hauptmann-Li "K" Transaction Signal

    • j

      public TransactionSignal j()
      The Almgren-Thum-Hauptmann-Li "J" Transaction Signal
      Returns:
      The Almgren-Thum-Hauptmann-Li "J" Transaction Signal