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). It provides the following Functions:
  • TransactionRealization Constructor
  • Retrieve the Permanent Market Impact Transaction Function
  • Retrieve the Temporary Market Impact Transaction Function
  • Retrieve the Asset Daily Volatility
  • Retrieve the Transaction Amount X
  • Retrieve the Transaction Completion Time T in Days
  • Retrieve the Transaction Completion Time in Days Adjusted for the Permanent Lag TPost
  • Emit the IJK Signal
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 Summary

    Constructors
    Constructor Description
    TransactionRealization​(TransactionFunction permanentTransactionFunction, TransactionFunction temporaryTransactionFunction, double volatility, double x, double t, double tPost)
    TransactionRealization Constructor

  • Method Summary

    Modifier and Type Method Description
    IJK emitSignal​(double randomI, double randomJ)
    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 permanentTransactionFunction, TransactionFunction temporaryTransactionFunction, double volatility, double x, double t, double tPost) throws java.lang.Exception
      TransactionRealization Constructor
      Parameters:
      permanentTransactionFunction - The Permanent Market Impact Transaction Function
      temporaryTransactionFunction - The Temporary Market Impact Transaction Function
      volatility - The Asset Daily Volatility
      x - The Transaction Amount
      t - The Transaction Completion Time in Days
      tPost - 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 randomI, double randomJ)
      Emit the IJK Signal
      Parameters:
      randomI - The Random "I" Instance
      randomJ - The Random "J" Instance
      Returns:
      The IJK Signal Instance