Package org.drip.execution.athl

Class PermanentImpactNoArbitrage

java.lang.Object

org.drip.function.definition.R1ToR1

org.drip.execution.impact.TransactionFunction

org.drip.execution.impact.TransactionFunctionLinear

org.drip.execution.impact.ParticipationRateLinear

org.drip.execution.athl.PermanentImpactNoArbitrage

public class PermanentImpactNoArbitrage
extends ParticipationRateLinear

PermanentImpactNoArbitrage implements the Linear Permanent Market Impact with Coefficients that have been determined empirically by Almgren, Thum, Hauptmann, and Li (2005), using the no Quasi-Arbitrage Criterion identified by Huberman and Stanzl (2004). The References are:

• 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
• Huberman, G., and W. Stanzl (2004): Price Manipulation and Quasi-arbitrage Econometrics 72 (4) 1247-1275

• 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
PermanentImpactNoArbitrage(AssetFlowSettings afp)	PermanentImpactNoArbitrage Constructor

Method Summary

Modifier and Type	Method	Description
AssetFlowSettings	assetFlowParameters()	Retrieve the Asset Flow Parameters
double	derivative(double dblNormalizedX, int iOrder)	Calculate the derivative as a double
double	evaluate(double dblNormalizedX)	Evaluate for the given variate
double	liquidityFactor()	Retrieve the Liquidity Factor
double	modulate(double dblTradeInterval)	Modulate/Scale the Impact Output
double	offset()	Retrieve the Offset Market Impact Parameter
double	regularize(double dblTradeInterval)	Regularize the Input Function using the specified Trade Inputs
double	slope()	Retrieve the Linear Market Impact Slope Parameter

Methods inherited from class org.drip.execution.impact.ParticipationRateLinear

NoImpact, SlopeOnly

Methods inherited from class org.drip.execution.impact.TransactionFunction

crossHoldingsDerivative, evaluate, leftHoldingsDerivative, rightHoldingsDerivative

Methods inherited from class org.drip.function.definition.R1ToR1

antiDerivative, conditionNumber, differential, differential, integrate, maxima, maxima, minima, minima, poleResidue

Methods inherited from class java.lang.Object

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

Constructor Details

PermanentImpactNoArbitrage

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

PermanentImpactNoArbitrage Constructor

Parameters:

afp - The Asset Flow Parameters

Throws:

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

Method Details

liquidityFactor

public double liquidityFactor()

Retrieve the Liquidity Factor

Returns:

The Liquidity Factor

assetFlowParameters

public AssetFlowSettings assetFlowParameters()

Retrieve the Asset Flow Parameters

Returns:

The Asset Flow Parameters

regularize

public double regularize(double dblTradeInterval)
                  throws java.lang.Exception

Description copied from class: TransactionFunction

Regularize the Input Function using the specified Trade Inputs

Overrides:

regularize in class ParticipationRateLinear

Parameters:

dblTradeInterval - The Trade Interval

Returns:

The Regularize Input

Throws:

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

modulate

public double modulate(double dblTradeInterval)
                throws java.lang.Exception

Description copied from class: TransactionFunction

Modulate/Scale the Impact Output

Overrides:

modulate in class ParticipationRateLinear

Parameters:

dblTradeInterval - The Trade Interval

Returns:

The Modulated Output

Throws:

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

slope

public double slope()

Description copied from class: ParticipationRateLinear

Retrieve the Linear Market Impact Slope Parameter

Overrides:

slope in class ParticipationRateLinear

Returns:

The Linear Market Impact Slope Parameter

offset

public double offset()

Description copied from class: ParticipationRateLinear

Retrieve the Offset Market Impact Parameter

Overrides:

offset in class ParticipationRateLinear

Returns:

The Offset Market Impact Parameter

evaluate

public double evaluate(double dblNormalizedX)
                throws java.lang.Exception

Description copied from class: R1ToR1

Evaluate for the given variate

Overrides:

evaluate in class ParticipationRateLinear

Parameters:

dblNormalizedX - Variate

Returns:

Returns the calculated value

Throws:

java.lang.Exception - Thrown if evaluation cannot be done

derivative

public double derivative(double dblNormalizedX,
int iOrder)
                  throws java.lang.Exception

Description copied from class: R1ToR1

Calculate the derivative as a double

Overrides:

derivative in class ParticipationRateLinear

Parameters:

dblNormalizedX - Variate at which the derivative is to be calculated

iOrder - Order of the derivative to be computed

Returns:

The Derivative

Throws:

java.lang.Exception - Thrown if Inputs are Invalid