Package org.drip.execution.dynamics

Class ArithmeticPriceEvolutionParameters

java.lang.Object

org.drip.execution.dynamics.ArithmeticPriceEvolutionParameters

Direct Known Subclasses:

LinearPermanentExpectationParameters

public class ArithmeticPriceEvolutionParameters
extends java.lang.Object

ArithmeticPriceEvolutionParameters contains the Exogenous Parameters that determine the Dynamics of the Arithmetic Price Movements exhibited by an Asset owing to the Volatility and the Market Impact Factors. 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 = Arithmetic Price Evolution Execution Parameters

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor	Description
ArithmeticPriceEvolutionParameters(ArithmeticPriceDynamicsSettings apds, BackgroundParticipationRate bprPermanentExpectation, BackgroundParticipationRate bprTemporaryExpectation, BackgroundParticipationRate bprPermanentVolatility, BackgroundParticipationRate bprTemporaryVolatility)	ArithmeticPriceEvolutionParameters Constructor

Method Summary

Modifier and Type	Method	Description
ArithmeticPriceDynamicsSettings	arithmeticPriceDynamicsSettings()	Retrieve the Arithmetic Price Dynamics Settings Instance
BackgroundParticipationRate	permanentExpectation()	Retrieve the Background Participation Permanent Market Impact Expectation Function
BackgroundParticipationRate	permanentVolatility()	Retrieve the Background Participation Permanent Market Impact Volatility Function
BackgroundParticipationRate	temporaryExpectation()	Retrieve the Background Participation Temporary Market Impact Expectation Function
BackgroundParticipationRate	temporaryVolatility()	Retrieve the Background Participation Temporary Market Impact Volatility Function

Methods inherited from class java.lang.Object

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

Constructor Details

ArithmeticPriceEvolutionParameters

public ArithmeticPriceEvolutionParameters(ArithmeticPriceDynamicsSettings apds,
BackgroundParticipationRate bprPermanentExpectation,
BackgroundParticipationRate bprTemporaryExpectation,
BackgroundParticipationRate bprPermanentVolatility,
BackgroundParticipationRate bprTemporaryVolatility)
                                   throws java.lang.Exception

ArithmeticPriceEvolutionParameters Constructor

Parameters:

apds - The Asset Price Dynamics Settings

bprPermanentExpectation - The Background Participation Permanent Market Impact Expectation Function

bprTemporaryExpectation - The Background Participation Temporary Market Impact Expectation Function

bprPermanentVolatility - The Background Participation Permanent Market Impact Volatility Function

bprTemporaryVolatility - The Background Participation Temporary Market Impact Volatility Function

Throws:

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

Method Details

arithmeticPriceDynamicsSettings

public ArithmeticPriceDynamicsSettings arithmeticPriceDynamicsSettings()

Retrieve the Arithmetic Price Dynamics Settings Instance

Returns:

The Arithmetic Price Dynamics Settings Instance

permanentExpectation

public BackgroundParticipationRate permanentExpectation()

Retrieve the Background Participation Permanent Market Impact Expectation Function

Returns:

The Background Participation Permanent Market Impact Expectation Function

temporaryExpectation

public BackgroundParticipationRate temporaryExpectation()

Retrieve the Background Participation Temporary Market Impact Expectation Function

Returns:

The Background Participation Temporary Market Impact Expectation Function

permanentVolatility

public BackgroundParticipationRate permanentVolatility()

Retrieve the Background Participation Permanent Market Impact Volatility Function

Returns:

The Background Participation Permanent Market Impact Volatility Function

temporaryVolatility

public BackgroundParticipationRate temporaryVolatility()

Retrieve the Background Participation Temporary Market Impact Volatility Function

Returns:

The Background Participation Temporary Market Impact Volatility Function