Package org.drip.execution.capture

Class TrajectoryShortfallAggregate

java.lang.Object
org.drip.execution.capture.TrajectoryShortfallAggregate
public class TrajectoryShortfallAggregate
extends java.lang.Object
TrajectoryShortfallAggregate aggregates the Execution Short-fall Distribution across each Interval in the Trade. 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

    • TrajectoryShortfallAggregate

      public TrajectoryShortfallAggregate​(java.util.List<ShortfallIncrementDistribution> lsSID) throws java.lang.Exception
      TrajectoryShortfallAggregate Constructor
      Parameters:
      lsSID - List of the Incremental Slice Short-fall Distributions
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

  • Method Details

    • list

      public java.util.List<ShortfallIncrementDistribution> list()
      Retrieve the List of the Interval Cost Distributions
      Returns:
      The List of the Interval Cost Distributions

    • totalCostDistribution

      public R1UnivariateNormal totalCostDistribution()
      Generate the Total Cost R^1 Normal Distribution
      Returns:
      The Total Cost R^1 Normal Distribution

    • incrementalExpectation

      public double[] incrementalExpectation()
      Generate the Array of Incremental Expectation Sequence
      Returns:
      The Array of Incremental Expectation Sequence

    • cumulativeExpectation

      public double[] cumulativeExpectation()
      Generate the Array of Cumulative Expectation Sequence
      Returns:
      The Array of Cumulative Expectation Sequence

    • incrementalVariance

      public double[] incrementalVariance()
      Generate the Array of Incremental Variance Sequence
      Returns:
      The Array of Incremental Variance Sequence

    • cumulativeVariance

      public double[] cumulativeVariance()
      Generate the Array of Cumulative Variance Sequence
      Returns:
      The Array of Cumulative Variance Sequence

    • incrementalMarketDynamicExpectation

      public double[] incrementalMarketDynamicExpectation()
      Generate the Array of Incremental Market Dynamic Expectation Sequence
      Returns:
      The Array of Incremental Market Dynamic Expectation Sequence

    • cumulativeMarketDynamicExpectation

      public double[] cumulativeMarketDynamicExpectation()
      Generate the Array of Cumulative Market Dynamic Expectation Sequence
      Returns:
      The Array of Cumulative Market Dynamic Expectation Sequence

    • incrementalPermanentImpactExpectation

      public double[] incrementalPermanentImpactExpectation()
      Generate the Array of Incremental Permanent Impact Expectation Sequence
      Returns:
      The Array of Incremental Permanent Impact Expectation Sequence

    • cumulativePermanentImpactExpectation

      public double[] cumulativePermanentImpactExpectation()
      Generate the Array of Cumulative Permanent Impact Expectation Sequence
      Returns:
      The Array of Cumulative Permanent Impact Expectation Sequence

    • incrementalTemporaryImpactExpectation

      public double[] incrementalTemporaryImpactExpectation()
      Generate the Array of Incremental Temporary Impact Expectation Sequence
      Returns:
      The Array of Incremental Temporary Impact Expectation Sequence

    • cumulativeTemporaryImpactExpectation

      public double[] cumulativeTemporaryImpactExpectation()
      Generate the Array of Cumulative Temporary Impact Expectation Sequence
      Returns:
      The Array of Cumulative Temporary Impact Expectation Sequence

    • shortfallExpectation

      public double shortfallExpectation()
      Generate the Expected Short-fall
      Returns:
      The Expected Short-fall

    • shortfallVariance

      public double shortfallVariance()
      Generate the Short-fall Variance
      Returns:
      The Short-fall Variance