Package org.drip.execution.discrete

Class EvolutionIncrement

java.lang.Object
org.drip.execution.evolution.MarketImpactComponent
org.drip.execution.evolution.MarketImpactComposite
org.drip.execution.discrete.EvolutionIncrement
Direct Known Subclasses:
PriceIncrement, ShortfallIncrement
public class EvolutionIncrement
extends MarketImpactComposite
EvolutionIncrement contains the Realized Stochastic Evolution Increments of the Price/Short-fall exhibited by an Asset owing to the Volatility and the Market Impact Factors over the Slice Time Interval. It is composed of Stochastic and Deterministic Price Increment Components. 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

    • EvolutionIncrement

      public EvolutionIncrement​(MarketImpactComponent micDeterministic, MarketImpactComponent micStochastic) throws java.lang.Exception
      EvolutionIncrement Constructor
      Parameters:
      micDeterministic - The Deterministic Market Impact Component Instance
      micStochastic - The Stochastic Market Impact Component Instance
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

  • Method Details

    • marketDynamicDrift

      public double marketDynamicDrift()
      Retrieve the Change induced by Deterministic Asset Price Market Dynamic Drivers
      Returns:
      The Change induced by Deterministic Asset Price Market Dynamic Drivers

    • marketDynamicWander

      public double marketDynamicWander()
      Retrieve the Change induced by Stochastic Asset Price Market Dynamic Drivers
      Returns:
      The Change induced by Stochastic Asset Price Market Dynamic Drivers

    • permanentImpactDrift

      public double permanentImpactDrift()
      Retrieve the Change induced by the Deterministic Asset Price Permanent Market Impact Drivers
      Returns:
      The Change induced by the Deterministic Asset Price Permanent Market Impact Drivers

    • permanentImpactWander

      public double permanentImpactWander()
      Retrieve the Change induced by the Stochastic Asset Price Permanent Market Impact Drivers
      Returns:
      The Change induced by the Stochastic Asset Price Permanent Market Impact Drivers

    • temporaryImpactDrift

      public double temporaryImpactDrift()
      Retrieve the Change induced by the Deterministic Asset Price Temporary Market Impact Drivers
      Returns:
      The Change induced by the Deterministic Asset Price Temporary Market Impact Drivers

    • temporaryImpactWander

      public double temporaryImpactWander()
      Retrieve the Change induced by the Stochastic Asset Price Temporary Market Impact Drivers
      Returns:
      The Change induced by the Stochastic Asset Price Temporary Market Impact Drivers