Class LinearImpactUniformTrajectoryEstimator

java.lang.Object
org.drip.execution.capture.TrajectoryShortfallEstimator
org.drip.execution.capture.LinearImpactUniformTrajectoryEstimator
All Implemented Interfaces:
ControlNodesGreekGenerator

public class LinearImpactUniformTrajectoryEstimator
extends TrajectoryShortfallEstimator
LinearImpactUniformTrajectoryEstimator estimates the Price/Cost Distribution associated with the Uniform Trading Trajectory generated using the Linear Market Impact Evolution Parameters. 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
  • 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
  • Constructor Details

    • LinearImpactUniformTrajectoryEstimator

      public LinearImpactUniformTrajectoryEstimator​(MinimumImpactTradingTrajectory mittUniform) throws java.lang.Exception
      LinearImpactUniformTrajectoryEstimator Constructor
      Parameters:
      mittUniform - The Uniform (i.e., Minimum Impact) Trading Trajectory
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid
  • Method Details