Package org.drip.execution.discrete

Class OptimalSerialCorrelationAdjustment

java.lang.Object
org.drip.execution.discrete.OptimalSerialCorrelationAdjustment
public class OptimalSerialCorrelationAdjustment
extends java.lang.Object
OptimalSerialCorrelationAdjustment contains an Estimate of the Optimal Adjustments attributable to Cross Period Serial Price Correlations over the Slice Time Interval. 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 Summary

    Constructors
    Constructor Description
    OptimalSerialCorrelationAdjustment​(double dblHoldingsShift, double dblGain)
    OptimalSerialCorrelationAdjustment Constructor

  • Method Summary

    Modifier and Type Method Description
    double gain()
    Retrieve the Optimal Gain
    double holdingsShift()
    Retrieve the Optimal Holdings Shift

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • OptimalSerialCorrelationAdjustment

      public OptimalSerialCorrelationAdjustment​(double dblHoldingsShift, double dblGain) throws java.lang.Exception
      OptimalSerialCorrelationAdjustment Constructor
      Parameters:
      dblHoldingsShift - The Optimal Holdings Shift
      dblGain - The Optimal Gain
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

  • Method Details

    • gain

      public double gain()
      Retrieve the Optimal Gain
      Returns:
      The Optimal Gain

    • holdingsShift

      public double holdingsShift()
      Retrieve the Optimal Holdings Shift
      Returns:
      The Optimal Holdings Shift