Package org.drip.execution.athl

Class PermanentImpactQuasiArbitrage

java.lang.Object

org.drip.function.definition.R1ToR1

org.drip.execution.impact.TransactionFunction

org.drip.execution.impact.TransactionFunctionPower

org.drip.execution.athl.PermanentImpactQuasiArbitrage

public class PermanentImpactQuasiArbitrage
extends TransactionFunctionPower

PermanentImpactQuasiArbitrage implements the Linear Permanent Market Impact with Coefficients that have been determined empirically by Almgren, Thum, Hauptmann, and Li (2005), independent of 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
PermanentImpactQuasiArbitrage(AssetFlowSettings afp)	PermanentImpactQuasiArbitrage Constructor

Method Summary

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

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

PermanentImpactQuasiArbitrage

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

PermanentImpactQuasiArbitrage 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

Specified by:

regularize in class TransactionFunction

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

Specified by:

modulate in class TransactionFunction

Parameters:

dblTradeInterval - The Trade Interval

Returns:

The Modulated Output

Throws:

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

constant

public double constant()

Description copied from class: TransactionFunctionPower

Retrieve the Constant Market Impact Parameter

Specified by:

constant in class TransactionFunctionPower

Returns:

The Constant Market Impact Parameter

exponent

public double exponent()

Description copied from class: TransactionFunctionPower

Retrieve the Power Law Exponent Market Impact Parameter

Specified by:

exponent in class TransactionFunctionPower

Returns:

The Power Law Exponent Market Impact Parameter

evaluate

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

Description copied from class: R1ToR1

Evaluate for the given variate

Specified by:

evaluate in class R1ToR1

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 R1ToR1

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