Package org.drip.execution.cost

Class LinearTemporaryImpact

java.lang.Object

org.drip.execution.cost.LinearTemporaryImpact

Direct Known Subclasses:

ConstrainedLinearTemporaryImpact

public class LinearTemporaryImpact
extends java.lang.Object

LinearTemporaryImpact computes and holds the Optimal Trajectory using the Linear Temporary Impact Function for the given set of Inputs. It provides a Default Unconstrained Trajectory Implementation. The References are:

• Bertsimas, D., and A. W. Lo (1998): Optimal Control of Execution Costs Journal of Financial Markets 1 1-50
• Almgren, R., and N. Chriss (2000): Optimal Execution of Portfolio Transactions Journal of Risk 3 (2) 5-39
• Brunnermeier, L. K., and L. H. Pedersen (2005): Predatory Trading Journal of Finance 60 (4) 1825-1863
• Almgren, R., and J. Lorenz (2006): Bayesian Adaptive Trading with a Daily Cycle Journal of Trading 1 (4) 38-46
• Kissell, R., and R. Malamut (2007): Algorithmic Decision Making Framework Journal of Trading 1 (1) 12-21

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

Author:

Lakshmi Krishnamurthy

Method Summary

Modifier and Type	Method	Description
PriorConditionalCombiner	combiner()	Retrieve the Prior/Conditional Distributions Combiner
double	driftExpectationEstimate()	Retrieve the Drift Expectation Estimate
double	driftVolatilityEstimate()	Retrieve the Drift Volatility Estimate
double	finishTime()	Retrieve the Finish Time
double	grossPriceChange()	Retrieve the Gross Price Change
double	instantaneousTradeRate()	Retrieve the Instantaneous Trade Rate
TransactionFunctionLinear	linearTemporaryImpact()	Retrieve the Linear Temporary Market Impact Function
double	spotHoldings()	Retrieve the Spot Holdings
double	spotTime()	Retrieve the Spot Time
double	staticTransactionCost()	Estimate of the Static Transaction Cost
EfficientTradingTrajectoryContinuous	trajectory()	Retrieve the Holdings Trajectory
double	transactionCostGain()	Estimate the Transaction Cost Gain available from the Bayesian Drift
static LinearTemporaryImpact	Unconstrained(double dblSpotTime, double dblFinishTime, double dblSpotHoldings, PriorConditionalCombiner pcc, double dblGrossPriceChange, TransactionFunctionLinear tflTemporary)	Generate an Unconstrained LinearTemporaryImpact Instance

Methods inherited from class java.lang.Object

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

Method Details

Unconstrained

public static final LinearTemporaryImpact Unconstrained(double dblSpotTime,
double dblFinishTime,
double dblSpotHoldings,
PriorConditionalCombiner pcc,
double dblGrossPriceChange,
TransactionFunctionLinear tflTemporary)

Generate an Unconstrained LinearTemporaryImpact Instance

Parameters:

dblSpotTime - Spot Time

dblFinishTime - Finish Time

dblSpotHoldings - Spot Holdings

pcc - The Prior/Conditional Combiner

dblGrossPriceChange - The Gross Price Change

tflTemporary - The Temporary Linear Impact Function

Returns:

The Unconstrained LinearTemporaryImpact Instance

spotTime

public double spotTime()

Retrieve the Spot Time

Returns:

The Spot Time

finishTime

public double finishTime()

Retrieve the Finish Time

Returns:

The Finish Time

spotHoldings

public double spotHoldings()

Retrieve the Spot Holdings

Returns:

The Spot Holdings

combiner

public PriorConditionalCombiner combiner()

Retrieve the Prior/Conditional Distributions Combiner

Returns:

The Prior/Conditional Distributions Combiner

grossPriceChange

public double grossPriceChange()

Retrieve the Gross Price Change

Returns:

The Gross Price Change

driftExpectationEstimate

public double driftExpectationEstimate()

Retrieve the Drift Expectation Estimate

Returns:

The Drift Expectation Estimate

driftVolatilityEstimate

public double driftVolatilityEstimate()

Retrieve the Drift Volatility Estimate

Returns:

The Drift Volatility Estimate

linearTemporaryImpact

public TransactionFunctionLinear linearTemporaryImpact()

Retrieve the Linear Temporary Market Impact Function

Returns:

The Linear Temporary Market Impact Function

trajectory

public EfficientTradingTrajectoryContinuous trajectory()

Retrieve the Holdings Trajectory

Returns:

The Holdings Trajectory

instantaneousTradeRate

public double instantaneousTradeRate()

Retrieve the Instantaneous Trade Rate

Returns:

The Instantaneous Trade Rate

staticTransactionCost

public double staticTransactionCost()

Estimate of the Static Transaction Cost

Returns:

The Static Transaction Cost Estimate

transactionCostGain

public double transactionCostGain()

Estimate the Transaction Cost Gain available from the Bayesian Drift

Returns:

The Transaction Cost Gain available from the Bayesian Drift