Package org.drip.execution.athl

Class TransactionRealization

java.lang.Object
org.drip.execution.athl.TransactionRealization
public class TransactionRealization
extends java.lang.Object
TransactionRealization holds the Suite of Empirical Drift/Wander 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
    TransactionRealization​(TransactionFunction tfPermanent, TransactionFunction tfTemporary, double dblVolatility, double dblX, double dblT, double dblTPost)
    TransactionRealization Constructor

  • Method Summary

    Modifier and Type Method Description
    IJK emitSignal​(double dblIRandom, double dblJRandom)
    Emit the IJK Signal
    TransactionFunction permanentMarketImpactFunction()
    Retrieve the Permanent Market Impact Transaction Function
    double t()
    Retrieve the Transaction Completion Time T in Days
    TransactionFunction temporaryMarketImpactFunction()
    Retrieve the Temporary Market Impact Transaction Function
    double tPost()
    Retrieve the Transaction Completion Time in Days Adjusted for the Permanent Lag TPost
    double volatility()
    Retrieve the Asset Daily Volatility
    double x()
    Retrieve the Transaction Amount X

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • TransactionRealization

      public TransactionRealization​(TransactionFunction tfPermanent, TransactionFunction tfTemporary, double dblVolatility, double dblX, double dblT, double dblTPost) throws java.lang.Exception
      TransactionRealization Constructor
      Parameters:
      tfPermanent - The Permanent Market Impact Transaction Function
      tfTemporary - The Temporary Market Impact Transaction Function
      dblVolatility - The Asset Daily Volatility
      dblX - The Transaction Amount
      dblT - The Transaction Completion Time in Days
      dblTPost - The Transaction Completion Time in Days Adjusted for the Permanent Lag
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

  • Method Details

    • permanentMarketImpactFunction

      public TransactionFunction permanentMarketImpactFunction()
      Retrieve the Permanent Market Impact Transaction Function
      Returns:
      The Permanent Market Impact Transaction Function

    • temporaryMarketImpactFunction

      public TransactionFunction temporaryMarketImpactFunction()
      Retrieve the Temporary Market Impact Transaction Function
      Returns:
      The Temporary Market Impact Transaction Function

    • volatility

      public double volatility()
      Retrieve the Asset Daily Volatility
      Returns:
      The Asset Daily Volatility

    • x

      public double x()
      Retrieve the Transaction Amount X
      Returns:
      The Transaction Amount X

    • t

      public double t()
      Retrieve the Transaction Completion Time T in Days
      Returns:
      The Transaction Completion Time T in Days

    • tPost

      public double tPost()
      Retrieve the Transaction Completion Time in Days Adjusted for the Permanent Lag TPost
      Returns:
      The Transaction Completion Time in Days Adjusted for the Permanent Lag TPost

    • emitSignal

      public IJK emitSignal​(double dblIRandom, double dblJRandom)
      Emit the IJK Signal
      Parameters:
      dblIRandom - The Random "I" Instance
      dblJRandom - The Random "J" Instance
      Returns:
      The IJK Signal Instance