Package org.drip.execution.discrete

Class ShortfallIncrementDistribution

java.lang.Object

org.drip.measure.continuous.R1Univariate

org.drip.measure.gaussian.R1UnivariateNormal

org.drip.execution.discrete.ShortfallIncrementDistribution

public class ShortfallIncrementDistribution
extends R1UnivariateNormal

ShortfallIncrementDistribution holds the Parameters of the R¹ Normal Short fall Increment Distribution. 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
ShortfallIncrementDistribution(double dblPermanentImpactExpectation, double dblTemporaryImpactExpectation, double dblMarketDynamicExpectation, double dblPermanentImpactVariance, double dblTemporaryImpactVariance, double dblMarketDynamicVariance)	ShortfallIncrementDistribution Constructor

Method Summary

Modifier and Type	Method	Description
double	expectation()	Retrieve the Total Expectation
double	marketDynamicExpectation()	Retrieve the Market Dynamic Expectation Component
double	marketDynamicVariance()	Retrieve the Market Dynamic Variance Component
double	permanentImpactExpectation()	Retrieve the Permanent Market Impact Expectation Component
double	permanentImpactVariance()	Retrieve the Permanent Market Impact Variance Component
double	temporaryImpactExpectation()	Retrieve the Temporary Market Impact Expectation Component
double	temporaryImpactVariance()	Retrieve the Temporary Market Impact Variance Component

Methods inherited from class org.drip.measure.gaussian.R1UnivariateNormal

confidence, confidenceInterval, cumulative, density, errorFunction, histogram, incremental, invCumulative, mean, median, mode, random, sigma, Standard, support, variance

Methods inherited from class org.drip.measure.continuous.R1Univariate

bPOE, centralMoment, cvar, differentialEntropy, excessKurtosis, expectedShortfall, fisherInformation, iqr, kullbackLeiblerDivergence, momentGeneratingFunction, nonCentralMoment, populationCentralMeasures, probabilityGeneratingFunction, quantile, randomArray, skewness, supported, tukeyAnomaly, tukeyCriterion

Methods inherited from class java.lang.Object

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

Constructor Details

ShortfallIncrementDistribution

public ShortfallIncrementDistribution(double dblPermanentImpactExpectation,
double dblTemporaryImpactExpectation,
double dblMarketDynamicExpectation,
double dblPermanentImpactVariance,
double dblTemporaryImpactVariance,
double dblMarketDynamicVariance)
                               throws java.lang.Exception

ShortfallIncrementDistribution Constructor

Parameters:

dblPermanentImpactExpectation - The Permanent Market Impact Expectation Component

dblTemporaryImpactExpectation - The Temporary Market Impact Expectation Component

dblMarketDynamicExpectation - The Market Dynamics Expectation Component

dblPermanentImpactVariance - The Permanent Market Impact Variance Component

dblTemporaryImpactVariance - The Temporary Market Impact Variance Component

dblMarketDynamicVariance - The Market Dynamics Variance Component

Throws:

java.lang.Exception - Thrown if the Inputs are Invalid

Method Details

expectation

public double expectation()

Retrieve the Total Expectation

Returns:

The Total Expectation

marketDynamicExpectation

public double marketDynamicExpectation()

Retrieve the Market Dynamic Expectation Component

Returns:

The Market Dynamic Expectation Component

marketDynamicVariance

public double marketDynamicVariance()

Retrieve the Market Dynamic Variance Component

Returns:

The Market Dynamic Variance Component

permanentImpactExpectation

public double permanentImpactExpectation()

Retrieve the Permanent Market Impact Expectation Component

Returns:

The Permanent Market Impact Expectation Component

permanentImpactVariance

public double permanentImpactVariance()

Retrieve the Permanent Market Impact Variance Component

Returns:

The Permanent Market Impact Variance Component

temporaryImpactExpectation

public double temporaryImpactExpectation()

Retrieve the Temporary Market Impact Expectation Component

Returns:

The Temporary Market Impact Expectation Component

temporaryImpactVariance

public double temporaryImpactVariance()

Retrieve the Temporary Market Impact Variance Component

Returns:

The Temporary Market Impact Variance Component