Package org.drip.execution.capture
Class LinearImpactBlockTrajectoryEstimator
java.lang.Object
org.drip.execution.capture.TrajectoryShortfallEstimator
org.drip.execution.capture.LinearImpactBlockTrajectoryEstimator
- All Implemented Interfaces:
ControlNodesGreekGenerator
public class LinearImpactBlockTrajectoryEstimator extends TrajectoryShortfallEstimator
LinearImpactBlockTrajectoryEstimator estimates the Price/Cost Distribution associated with the
Single Block Trading Trajectory generated using the Linear Market Impact Evolution Parameters. The
Reference 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
- Bertsimas, D., and A. W. Lo (1998): Optimal Control of Execution Costs Journal of Financial Markets 1 1-50
- Chan, L. K. C., and J. Lakonishak (1995): The Behavior of Stock Prices around Institutional Trades Journal of Finance 50 1147-1174
- Keim, D. B., and A. Madhavan (1997): Transaction Costs and Investment Style: An Inter-exchange Analysis of Institutional Equity Trades Journal of Financial Economics 46 265-292
- Author:
- Lakshmi Krishnamurthy
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Constructor Summary
Constructors Constructor Description LinearImpactBlockTrajectoryEstimator(MinimumVarianceTradingTrajectory mvttBlock)
LinearImpactBlockTrajectoryCost Constructor -
Method Summary
Modifier and Type Method Description R1UnivariateNormal
totalCostDistributionSynopsis(ArithmeticPriceEvolutionParameters apep)
Generate the Total Cost Distribution Synopsis Distribution for the Trading TrajectoryMethods inherited from class org.drip.execution.capture.TrajectoryShortfallEstimator
expectationContribution, marketDynamicsExpectation, marketDynamicsVariance, permanentImpactExpectation, permanentImpactVariance, serialCorrelationAdjustment, temporaryImpactExpectation, temporaryImpactVariance, totalCostDistributionDetail, totalCostRealizationDetail, trajectory, varianceContribution
Methods inherited from class java.lang.Object
equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait
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Constructor Details
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LinearImpactBlockTrajectoryEstimator
public LinearImpactBlockTrajectoryEstimator(MinimumVarianceTradingTrajectory mvttBlock) throws java.lang.ExceptionLinearImpactBlockTrajectoryCost Constructor- Parameters:
mvttBlock
- The Block (i.e., Minimum Variance) Trading Trajectory- Throws:
java.lang.Exception
- Thrown if the Inputs are Invalid
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Method Details
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totalCostDistributionSynopsis
Description copied from class:TrajectoryShortfallEstimator
Generate the Total Cost Distribution Synopsis Distribution for the Trading Trajectory- Overrides:
totalCostDistributionSynopsis
in classTrajectoryShortfallEstimator
- Parameters:
apep
- Arithmetic Price Evolution Parameters Instance- Returns:
- The Total Cost Distribution Synopsis Distribution for the Trading Trajectory
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