Package org.drip.execution.discrete

Class Slice

java.lang.Object

org.drip.execution.discrete.Slice

All Implemented Interfaces:

ControlNodesGreekGenerator

public class Slice
extends java.lang.Object
implements ControlNodesGreekGenerator

Slice implements the Arithmetic Dynamics of the Price/Cost Movements exhibited by an Asset owing to the Volatility and the Market Impact Factors on a Trajectory Slice. 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
Slice(double dblLeftHoldings, double dblRightHoldings, double dblTimeInterval)	Slice Constructor

Method Summary

Modifier and Type	Method	Description
ShortfallIncrementDistribution	costIncrementDistribution(ArithmeticPriceEvolutionParameters apep)	Generate the R^1 Normal Cost Increment Distribution
ShortfallIncrement	costIncrementRealization(double dblPreviousEquilibriumPrice, WalkSuite ws, ArithmeticPriceEvolutionParameters apep)	Generate the Cost Evolution Increment Unit Realization given the Walk Realization
ControlNodesGreek	expectationContribution(ArithmeticPriceEvolutionParameters apep)	Generate the Total Expectation Contribution
boolean	isSell()	Indicate if the Slice is a Sell
double	leftHoldings()	Retrieve the Left-of-Slice Holdings
ControlNodesGreek	marketDynamicsExpectation(ArithmeticPriceEvolutionParameters apep)	Generate the Market Dynamics Expectation Contribution
ControlNodesGreek	marketDynamicsVariance(ArithmeticPriceEvolutionParameters apep)	Generate the Market Dynamics Variance Contribution
ControlNodesGreek	permanentImpactExpectation(ArithmeticPriceEvolutionParameters apep)	Generate the Permanent Impact Expectation Contribution
ControlNodesGreek	permanentImpactVariance(ArithmeticPriceEvolutionParameters apep)	Generate the Permanent Impact Variance Contribution
PriceIncrement	priceIncrementRealization(double dblPreviousEquilibriumPrice, WalkSuite ws, ArithmeticPriceEvolutionParameters apep)	Generate the Price Evolution Increment Unit Realization given the Walk Realization
double	rightHoldings()	Retrieve the Right Holdings
OptimalSerialCorrelationAdjustment	serialCorrelationAdjustment(ArithmeticPriceEvolutionParameters apep)	Estimate the Optimal Adjustment Attributable to the Serial Correlation
ControlNodesGreek	temporaryImpactExpectation(ArithmeticPriceEvolutionParameters apep)	Generate the Temporary Impact Expectation Contribution
ControlNodesGreek	temporaryImpactVariance(ArithmeticPriceEvolutionParameters apep)	Generate the Temporary Impact Variance Contribution
double	timeInterval()	Retrieve the Evolution Time Interval of the Arithmetic Dynamics
ControlNodesGreek	varianceContribution(ArithmeticPriceEvolutionParameters apep)	Generate the Total Variance Contribution

Methods inherited from class java.lang.Object

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

Constructor Details

Slice

public Slice(double dblLeftHoldings,
double dblRightHoldings,
double dblTimeInterval)
      throws java.lang.Exception

Slice Constructor

Parameters:

dblLeftHoldings - The Left-of-Slice Holdings

dblRightHoldings - The Right-of-Slice Holdings

dblTimeInterval - The Discrete Time Interval

Throws:

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

Method Details

leftHoldings

public double leftHoldings()

Retrieve the Left-of-Slice Holdings

Returns:

The Left-of-Slice Holdings

rightHoldings

public double rightHoldings()

Retrieve the Right Holdings

Returns:

The Right Holdings

timeInterval

public double timeInterval()

Retrieve the Evolution Time Interval of the Arithmetic Dynamics

Returns:

The Evolution Time Interval of the Arithmetic Dynamics

isSell

public boolean isSell()

Indicate if the Slice is a Sell

Returns:

TRUE - The Slice is a Sell

priceIncrementRealization

public PriceIncrement priceIncrementRealization(double dblPreviousEquilibriumPrice,
WalkSuite ws,
ArithmeticPriceEvolutionParameters apep)

Generate the Price Evolution Increment Unit Realization given the Walk Realization

Parameters:

dblPreviousEquilibriumPrice - The Previous Equilibrium Price

ws - Realized Walk Suite

apep - The Arithmetic Price Walk Evolution Parameters

Returns:

The Realized Price Evolution Increment Unit given the Walk Realization

costIncrementRealization

public ShortfallIncrement costIncrementRealization(double dblPreviousEquilibriumPrice,
WalkSuite ws,
ArithmeticPriceEvolutionParameters apep)

Generate the Cost Evolution Increment Unit Realization given the Walk Realization

Parameters:

dblPreviousEquilibriumPrice - The Previous Equilibrium Price

ws - Realized Walk Suite

apep - The Arithmetic Price Walk Evolution Parameters

Returns:

The Cost Evolution Increment Unit Realization given the Walk Realization

costIncrementDistribution

public ShortfallIncrementDistribution costIncrementDistribution(ArithmeticPriceEvolutionParameters apep)

Generate the R^1 Normal Cost Increment Distribution

Parameters:

apep - The Arithmetic Price Walk Evolution Parameters

Returns:

The R^1 Normal Cost Increment Distribution

permanentImpactExpectation

public ControlNodesGreek permanentImpactExpectation(ArithmeticPriceEvolutionParameters apep)

Description copied from interface: ControlNodesGreekGenerator

Generate the Permanent Impact Expectation Contribution

Specified by:

permanentImpactExpectation in interface ControlNodesGreekGenerator

Parameters:

apep - The Arithmetic Price Walk Evolution Parameters

Returns:

The Permanent Impact Expectation Contribution

permanentImpactVariance

public ControlNodesGreek permanentImpactVariance(ArithmeticPriceEvolutionParameters apep)

Description copied from interface: ControlNodesGreekGenerator

Generate the Permanent Impact Variance Contribution

Specified by:

permanentImpactVariance in interface ControlNodesGreekGenerator

Parameters:

apep - The Arithmetic Price Walk Evolution Parameters

Returns:

The Permanent Impact Variance Contribution

temporaryImpactExpectation

public ControlNodesGreek temporaryImpactExpectation(ArithmeticPriceEvolutionParameters apep)

Description copied from interface: ControlNodesGreekGenerator

Generate the Temporary Impact Expectation Contribution

Specified by:

temporaryImpactExpectation in interface ControlNodesGreekGenerator

Parameters:

apep - The Arithmetic Price Walk Evolution Parameters

Returns:

The Temporary Impact Expectation Contribution

temporaryImpactVariance

public ControlNodesGreek temporaryImpactVariance(ArithmeticPriceEvolutionParameters apep)

Description copied from interface: ControlNodesGreekGenerator

Generate the Temporary Impact Variance Contribution

Specified by:

temporaryImpactVariance in interface ControlNodesGreekGenerator

Parameters:

apep - The Arithmetic Price Walk Evolution Parameters

Returns:

The Temporary Impact Variance Contribution

marketDynamicsExpectation

public ControlNodesGreek marketDynamicsExpectation(ArithmeticPriceEvolutionParameters apep)

Description copied from interface: ControlNodesGreekGenerator

Generate the Market Dynamics Expectation Contribution

Specified by:

marketDynamicsExpectation in interface ControlNodesGreekGenerator

Parameters:

apep - The Arithmetic Price Walk Evolution Parameters

Returns:

The Market Dynamics Expectation Contribution

marketDynamicsVariance

public ControlNodesGreek marketDynamicsVariance(ArithmeticPriceEvolutionParameters apep)

Description copied from interface: ControlNodesGreekGenerator

Generate the Market Dynamics Variance Contribution

Specified by:

marketDynamicsVariance in interface ControlNodesGreekGenerator

Parameters:

apep - The Arithmetic Price Walk Evolution Parameters

Returns:

The Market Dynamics Variance Contribution

expectationContribution

public ControlNodesGreek expectationContribution(ArithmeticPriceEvolutionParameters apep)

Description copied from interface: ControlNodesGreekGenerator

Generate the Total Expectation Contribution

Specified by:

expectationContribution in interface ControlNodesGreekGenerator

Parameters:

apep - The Arithmetic Price Walk Evolution Parameters

Returns:

The Total Expectation Contribution

varianceContribution

public ControlNodesGreek varianceContribution(ArithmeticPriceEvolutionParameters apep)

Description copied from interface: ControlNodesGreekGenerator

Generate the Total Variance Contribution

Specified by:

varianceContribution in interface ControlNodesGreekGenerator

Parameters:

apep - The Arithmetic Price Walk Evolution Parameters

Returns:

The Total Variance Contribution

serialCorrelationAdjustment

public OptimalSerialCorrelationAdjustment serialCorrelationAdjustment(ArithmeticPriceEvolutionParameters apep)

Estimate the Optimal Adjustment Attributable to the Serial Correlation

Parameters:

apep - The Arithmetic Price Walk Parameters

Returns:

The Optimal Adjustment Attributable to the Serial Correlation