Package org.drip.execution.capture

Class TrajectoryShortfallEstimator

java.lang.Object

org.drip.execution.capture.TrajectoryShortfallEstimator

All Implemented Interfaces:

ControlNodesGreekGenerator

Direct Known Subclasses:

LinearImpactBlockTrajectoryEstimator, LinearImpactTrajectoryEstimator, LinearImpactUniformTrajectoryEstimator

public class TrajectoryShortfallEstimator
extends java.lang.Object
implements ControlNodesGreekGenerator

TrajectoryShortfallEstimator estimates the Price/Short Fall Distribution associated with the Trading Trajectory generated using the specified 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

• 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
TrajectoryShortfallEstimator(DiscreteTradingTrajectory tt)	TrajectoryShortfallEstimator Constructor

Method Summary

Modifier and Type	Method	Description
ControlNodesGreek	expectationContribution(ArithmeticPriceEvolutionParameters apep)	Generate the Total Expectation Contribution
ControlNodesGreek	marketDynamicsExpectation(ArithmeticPriceEvolutionParameters apep)	Generate the Market Dynamics Expectation Contribution
ControlNodesGreek	marketDynamicsVariance(ArithmeticPriceEvolutionParameters apep)	Generate the Market Dynamics Variance Contribution
ControlNodesGreek	permanentImpactExpectation(ArithmeticPriceEvolutionParameters apep)	Generate the Permanent Impact Expectation Contribution
ControlNodesGreek	permanentImpactVariance(ArithmeticPriceEvolutionParameters apep)	Generate the Permanent Impact Variance Contribution
OptimalSerialCorrelationAdjustment[]	serialCorrelationAdjustment(ArithmeticPriceEvolutionParameters apep)	Estimate the Optimal Adjustment Attributable to the Serial Correlation
ControlNodesGreek	temporaryImpactExpectation(ArithmeticPriceEvolutionParameters apep)	Generate the Temporary Impact Expectation Contribution
ControlNodesGreek	temporaryImpactVariance(ArithmeticPriceEvolutionParameters apep)	Generate the Temporary Impact Variance Contribution
TrajectoryShortfallAggregate	totalCostDistributionDetail(ArithmeticPriceEvolutionParameters apep)	Generate the Detailed Total Cost Distribution for the Trading Trajectory
R1UnivariateNormal	totalCostDistributionSynopsis(ArithmeticPriceEvolutionParameters apep)	Generate the Total Cost Distribution Synopsis Distribution for the Trading Trajectory
TrajectoryShortfallRealization	totalCostRealizationDetail(double dblStartingEquilibriumPrice, WalkSuite[] aWS, ArithmeticPriceEvolutionParameters apep)	Generate the Detailed Cost Realization Sequence given the Specified Inputs
DiscreteTradingTrajectory	trajectory()	Retrieve the Underlying Trading Trajectory Instance
ControlNodesGreek	varianceContribution(ArithmeticPriceEvolutionParameters apep)	Generate the Total Variance Contribution

Methods inherited from class java.lang.Object

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

Constructor Details

TrajectoryShortfallEstimator

public TrajectoryShortfallEstimator(DiscreteTradingTrajectory tt)
                             throws java.lang.Exception

TrajectoryShortfallEstimator Constructor

Parameters:

tt - The Trading Trajectory Instance

Throws:

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

Method Details

trajectory

public DiscreteTradingTrajectory trajectory()

Retrieve the Underlying Trading Trajectory Instance

Returns:

The Underlying Trading Trajectory Instance

totalCostRealizationDetail

public TrajectoryShortfallRealization totalCostRealizationDetail(double dblStartingEquilibriumPrice,
WalkSuite[] aWS,
ArithmeticPriceEvolutionParameters apep)

Generate the Detailed Cost Realization Sequence given the Specified Inputs

Parameters:

dblStartingEquilibriumPrice - The Starting Equilibrium Price

aWS - Array of the Realized Walk Random Variable Suite

apep - The Price Evolution Parameters

Returns:

The Detailed Cost Realization Sequence given the Specified Inputs

totalCostDistributionDetail

public TrajectoryShortfallAggregate totalCostDistributionDetail(ArithmeticPriceEvolutionParameters apep)

Generate the Detailed Total Cost Distribution for the Trading Trajectory

Parameters:

apep - The Price Evolution Parameters

Returns:

The Detailed Total Cost Distribution for the Trading Trajectory

totalCostDistributionSynopsis

public R1UnivariateNormal totalCostDistributionSynopsis(ArithmeticPriceEvolutionParameters apep)

Generate the Total Cost Distribution Synopsis Distribution for the Trading Trajectory

Parameters:

apep - Arithmetic Price Evolution Parameters Instance

Returns:

The Total Cost Distribution Synopsis Distribution for the Trading Trajectory

permanentImpactExpectation

public ControlNodesGreek permanentImpactExpectation(ArithmeticPriceEvolutionParameters apep)

Description copied from interface: ControlNodesGreekGenerator

Generate the Permanent Impact Expectation Contribution

Specified by:

permanentImpactExpectation in interface ControlNodesGreekGenerator

Parameters:

apep - The Arithmetic Price Walk Evolution Parameters

Returns:

The Permanent Impact Expectation Contribution

permanentImpactVariance

public ControlNodesGreek permanentImpactVariance(ArithmeticPriceEvolutionParameters apep)

Description copied from interface: ControlNodesGreekGenerator

Generate the Permanent Impact Variance Contribution

Specified by:

permanentImpactVariance in interface ControlNodesGreekGenerator

Parameters:

apep - The Arithmetic Price Walk Evolution Parameters

Returns:

The Permanent Impact Variance Contribution

temporaryImpactExpectation

public ControlNodesGreek temporaryImpactExpectation(ArithmeticPriceEvolutionParameters apep)

Description copied from interface: ControlNodesGreekGenerator

Generate the Temporary Impact Expectation Contribution

Specified by:

temporaryImpactExpectation in interface ControlNodesGreekGenerator

Parameters:

apep - The Arithmetic Price Walk Evolution Parameters

Returns:

The Temporary Impact Expectation Contribution

temporaryImpactVariance

public ControlNodesGreek temporaryImpactVariance(ArithmeticPriceEvolutionParameters apep)

Description copied from interface: ControlNodesGreekGenerator

Generate the Temporary Impact Variance Contribution

Specified by:

temporaryImpactVariance in interface ControlNodesGreekGenerator

Parameters:

apep - The Arithmetic Price Walk Evolution Parameters

Returns:

The Temporary Impact Variance Contribution

marketDynamicsExpectation

public ControlNodesGreek marketDynamicsExpectation(ArithmeticPriceEvolutionParameters apep)

Description copied from interface: ControlNodesGreekGenerator

Generate the Market Dynamics Expectation Contribution

Specified by:

marketDynamicsExpectation in interface ControlNodesGreekGenerator

Parameters:

apep - The Arithmetic Price Walk Evolution Parameters

Returns:

The Market Dynamics Expectation Contribution

marketDynamicsVariance

public ControlNodesGreek marketDynamicsVariance(ArithmeticPriceEvolutionParameters apep)

Description copied from interface: ControlNodesGreekGenerator

Generate the Market Dynamics Variance Contribution

Specified by:

marketDynamicsVariance in interface ControlNodesGreekGenerator

Parameters:

apep - The Arithmetic Price Walk Evolution Parameters

Returns:

The Market Dynamics Variance Contribution

expectationContribution

public ControlNodesGreek expectationContribution(ArithmeticPriceEvolutionParameters apep)

Description copied from interface: ControlNodesGreekGenerator

Generate the Total Expectation Contribution

Specified by:

expectationContribution in interface ControlNodesGreekGenerator

Parameters:

apep - The Arithmetic Price Walk Evolution Parameters

Returns:

The Total Expectation Contribution

varianceContribution

public ControlNodesGreek varianceContribution(ArithmeticPriceEvolutionParameters apep)

Description copied from interface: ControlNodesGreekGenerator

Generate the Total Variance Contribution

Specified by:

varianceContribution in interface ControlNodesGreekGenerator

Parameters:

apep - The Arithmetic Price Walk Evolution Parameters

Returns:

The Total Variance Contribution

serialCorrelationAdjustment

public OptimalSerialCorrelationAdjustment[] serialCorrelationAdjustment(ArithmeticPriceEvolutionParameters apep)

Estimate the Optimal Adjustment Attributable to the Serial Correlation

Parameters:

apep - The Arithmetic Price Walk Parameters

Returns:

The Optimal Adjustment Attributable to the Serial Correlation