Package org.drip.execution.athl

Class TransactionSignal

java.lang.Object
org.drip.execution.athl.TransactionSignal
public class TransactionSignal
extends java.lang.Object
TransactionSignal holds the Realized Empirical Signals that have been emitted off of a Transaction Run, decomposed using the Scheme by Almgren, Thum, Hauptmann, and Li (2005), based off of 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
    TransactionSignal​(double dblDrift, double dblIWander, double dblJWander)
    TransactionSignal Constructor

  • Method Summary

    Modifier and Type Method Description
    double drift()
    Retrieve the Drift of the Transaction Signal
    double iWander()
    Retrieve the "I" Component Wander of the Transaction Signal
    double jWander()
    Retrieve the "J" Component Wander of the Transaction Signal

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • TransactionSignal

      public TransactionSignal​(double dblDrift, double dblIWander, double dblJWander) throws java.lang.Exception
      TransactionSignal Constructor
      Parameters:
      dblDrift - The Signal Drift
      dblIWander - The "I" Signal Wander
      dblJWander - The "J" Signal Wander
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

  • Method Details

    • drift

      public double drift()
      Retrieve the Drift of the Transaction Signal
      Returns:
      The Drift of the Transaction Signal

    • iWander

      public double iWander()
      Retrieve the "I" Component Wander of the Transaction Signal
      Returns:
      The "I" Component Wander of the Transaction Signal

    • jWander

      public double jWander()
      Retrieve the "J" Component Wander of the Transaction Signal
      Returns:
      The "J" Component Wander of the Transaction Signal