Package org.drip.execution.discrete

Class ShortfallIncrement

java.lang.Object

org.drip.execution.evolution.MarketImpactComponent

org.drip.execution.evolution.MarketImpactComposite

org.drip.execution.discrete.EvolutionIncrement

org.drip.execution.discrete.ShortfallIncrement

public class ShortfallIncrement
extends EvolutionIncrement

ShortfallIncrement generates the Realized Incremental Stochastic Trading/Execution Short-fall and the corresponding Implementation Short-fall corresponding to the Trajectory of a Holdings Block that is to be executed over Time. 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

Method Summary

Modifier and Type	Method	Description
PriceIncrement	compositePriceIncrement()	Retrieve the Composite Price Increment Instance
double	implementationShortfall()	Compute the Implementation Short-fall
static ShortfallIncrement	Standard(PriceIncrement pi, double dblPreviousHoldings, double dblHoldingsIncrement)	Generate a Standard ShortfallIncrement Instance

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

Method Details

Standard

public static final ShortfallIncrement Standard(PriceIncrement pi,
double dblPreviousHoldings,
double dblHoldingsIncrement)

Generate a Standard ShortfallIncrement Instance

Parameters:

pi - The Composite Slice Price Increment

dblPreviousHoldings - The Previous Holdings

dblHoldingsIncrement - The Holdings Increment

Returns:

The Standard ShortfallIncrement Instance

implementationShortfall

public double implementationShortfall()

Compute the Implementation Short-fall

Returns:

The Implementation Short-fall

compositePriceIncrement

public PriceIncrement compositePriceIncrement()

Retrieve the Composite Price Increment Instance

Returns:

The Composite Price Increment Instance