Package org.drip.execution.discrete

Class PriceIncrement

java.lang.Object

org.drip.execution.evolution.MarketImpactComponent

org.drip.execution.evolution.MarketImpactComposite

org.drip.execution.discrete.EvolutionIncrement

org.drip.execution.discrete.PriceIncrement

public class PriceIncrement
extends EvolutionIncrement

PriceIncrement contains the Realized Stochastic Evolution Increments of the Price Movements 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

• Module = Product Core Module
• Library = Transaction Cost Analytics
• Project = Optimal Impact/Capture Based Trading Trajectories - Deterministic, Stochastic, Static, and Dynamic
• Package = Trajectory Slice Execution Cost Distribution

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor	Description
PriceIncrement(double dblPreviousEquilibriumPrice, MarketImpactComponent micDeterministic, MarketImpactComponent micStochastic)	PriceIncrement Constructor

Method Summary

Modifier and Type	Method	Description
double	newEquilibriumPrice()	Retrieve the New Equilibrium Price
double	newExecutionPrice()	Retrieve the New Execution Price
double	previousEquilibriumPrice()	Retrieve the Previous Equilibrium Price

Methods inherited from class org.drip.execution.discrete.EvolutionIncrement

marketDynamicDrift, marketDynamicWander, permanentImpactDrift, permanentImpactWander, temporaryImpactDrift, temporaryImpactWander

Methods inherited from class org.drip.execution.evolution.MarketImpactComposite

deterministic, Standard, stochastic

Methods inherited from class org.drip.execution.evolution.MarketImpactComponent

currentStep, permanentImpact, previousStep, temporaryImpact, total

Methods inherited from class java.lang.Object

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

Constructor Details

PriceIncrement

public PriceIncrement(double dblPreviousEquilibriumPrice,
MarketImpactComponent micDeterministic,
MarketImpactComponent micStochastic)
               throws java.lang.Exception

PriceIncrement Constructor

Parameters:

dblPreviousEquilibriumPrice - The Previous Equilibrium Price

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

previousEquilibriumPrice

public double previousEquilibriumPrice()

Retrieve the Previous Equilibrium Price

Returns:

The Previous Equilibrium Price

newEquilibriumPrice

public double newEquilibriumPrice()

Retrieve the New Equilibrium Price

Returns:

The New Equilibrium Price

newExecutionPrice

public double newExecutionPrice()

Retrieve the New Execution Price

Returns:

The New Execution Price