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

• Module = Product Core Module
• Library = Transaction Cost Analytics
• Project = Optimal Impact/Capture Based Trading Trajectories - Deterministic, Stochastic, Static, and Dynamic
• Package = Execution Trajectory Transaction Cost Capture

Author:

Lakshmi Krishnamurthy

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 Trajectory

Methods 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

Constructor Details

LinearImpactBlockTrajectoryEstimator

public LinearImpactBlockTrajectoryEstimator(MinimumVarianceTradingTrajectory mvttBlock)
                                     throws java.lang.Exception

LinearImpactBlockTrajectoryCost Constructor

Parameters:

mvttBlock - The Block (i.e., Minimum Variance) Trading Trajectory

Throws:

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

Method Details

totalCostDistributionSynopsis

public R1UnivariateNormal totalCostDistributionSynopsis(ArithmeticPriceEvolutionParameters apep)

Description copied from class: TrajectoryShortfallEstimator

Generate the Total Cost Distribution Synopsis Distribution for the Trading Trajectory

Overrides:

totalCostDistributionSynopsis in class TrajectoryShortfallEstimator

Parameters:

apep - Arithmetic Price Evolution Parameters Instance

Returns:

The Total Cost Distribution Synopsis Distribution for the Trading Trajectory