Package org.drip.execution.dynamics

Class ArithmeticPriceEvolutionParametersBuilder

java.lang.Object

org.drip.execution.dynamics.ArithmeticPriceEvolutionParametersBuilder

public class ArithmeticPriceEvolutionParametersBuilder
extends java.lang.Object

ArithmeticPriceEvolutionParametersBuilder constructs a variety of Arithmetic Price Evolution Parameters. 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
ArithmeticPriceEvolutionParametersBuilder()

Method Summary

Modifier and Type	Method	Description
static LinearPermanentExpectationParameters	Almgren2003(ArithmeticPriceDynamicsSettings apds, BackgroundParticipationRateLinear bprlPermanentExpectation, BackgroundParticipationRate bprTemporaryExpectation)	Almgren 2003 Version of LinearPermanentExpectationParameters Instance
static ArithmeticPriceEvolutionParameters	CoordinatedVariation(R1ToR1 r1ToR1Volatility, CoordinatedVariation cv)	Construct a Arithmetic Price Evolution Parameters from Coordinated Variation Instance
static ArithmeticPriceEvolutionParameters	DeterministicCoordinatedVariation(double dblPriceVolatility, CoordinatedVariation cv)	Construct a Arithmetic Price Evolution Parameters from a Deterministic Coordinated Variation Instance
static LinearPermanentExpectationParameters	LinearExpectation(ArithmeticPriceDynamicsSettings apds, BackgroundParticipationRateLinear bprlPermanentExpectation, BackgroundParticipationRateLinear bprlTemporaryExpectation)	Linear Expectation Version of LinearPermanentExpectationParameters Instance
static LinearPermanentExpectationParameters	ReferenceCoordinatedVariation(CoordinatedVariation cv)	Construct a Linear Permanent Evolution Parameters from a Deterministic Coordinated Variation Instance
static ArithmeticPriceEvolutionParameters	TradingEnhancedVolatility(double dblPriceVolatility, BackgroundParticipationRateLinear bprlTemporaryExpectation, BackgroundParticipationRateLinear bprlTemporaryVolatility)	Trading Enhanced Volatility ArithmeticPriceEvolutionParameters Instance

Methods inherited from class java.lang.Object

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

Constructor Details

ArithmeticPriceEvolutionParametersBuilder

public ArithmeticPriceEvolutionParametersBuilder()

Method Details

LinearExpectation

public static final LinearPermanentExpectationParameters LinearExpectation(ArithmeticPriceDynamicsSettings apds,
BackgroundParticipationRateLinear bprlPermanentExpectation,
BackgroundParticipationRateLinear bprlTemporaryExpectation)

Linear Expectation Version of LinearPermanentExpectationParameters Instance

Parameters:

apds - The Asset Price Dynamics Settings

bprlPermanentExpectation - The Background Participation Rate Linear Permanent Expectation Market Impact Function

bprlTemporaryExpectation - The Background Participation Rate Linear Temporary Market Impact Expectation Function

Returns:

Linear Expectation Version of LinearPermanentExpectationParameters Instance

Almgren2003

public static final LinearPermanentExpectationParameters Almgren2003(ArithmeticPriceDynamicsSettings apds,
BackgroundParticipationRateLinear bprlPermanentExpectation,
BackgroundParticipationRate bprTemporaryExpectation)

Almgren 2003 Version of LinearPermanentExpectationParameters Instance

Parameters:

apds - The Asset Price Dynamics Settings

bprlPermanentExpectation - The Background Participation Rate Linear Permanent Expectation Market Impact Function

bprTemporaryExpectation - The Participation Rate Power Temporary Market Impact Expectation Function

Returns:

Almgren 2003 Version of LinearPermanentExpectationParameters Instance

TradingEnhancedVolatility

public static final ArithmeticPriceEvolutionParameters TradingEnhancedVolatility(double dblPriceVolatility,
BackgroundParticipationRateLinear bprlTemporaryExpectation,
BackgroundParticipationRateLinear bprlTemporaryVolatility)

Trading Enhanced Volatility ArithmeticPriceEvolutionParameters Instance

Parameters:

dblPriceVolatility - The Daily Price Volatility Parameter

bprlTemporaryExpectation - The Background Participation Linear Temporary Market Impact Expectation Function

bprlTemporaryVolatility - The Background Participation Linear Temporary Market Impact Volatility Function

Returns:

The Trading Enhanced Volatility /ArithmeticPriceEvolutionParameters Instance

CoordinatedVariation

public static final ArithmeticPriceEvolutionParameters CoordinatedVariation(R1ToR1 r1ToR1Volatility,
CoordinatedVariation cv)

Construct a Arithmetic Price Evolution Parameters from Coordinated Variation Instance

Parameters:

r1ToR1Volatility - The R^1 To R^1 Volatility Function

cv - The Coordinated Volatility/Liquidity Variation

Returns:

The Arithmetic Price Evolution Parameters from Coordinated Variation Instance

DeterministicCoordinatedVariation

public static final ArithmeticPriceEvolutionParameters DeterministicCoordinatedVariation(double dblPriceVolatility,
CoordinatedVariation cv)

Construct a Arithmetic Price Evolution Parameters from a Deterministic Coordinated Variation Instance

Parameters:

dblPriceVolatility - The Daily Price Volatility Parameter

cv - The Coordinated Volatility/Liquidity Variation

Returns:

The Arithmetic Price Evolution Parameters from a Deterministic Coordinated Variation Instance

ReferenceCoordinatedVariation

public static final LinearPermanentExpectationParameters ReferenceCoordinatedVariation(CoordinatedVariation cv)

Construct a Linear Permanent Evolution Parameters from a Deterministic Coordinated Variation Instance

Parameters:

cv - The Coordinated Volatility/Liquidity Variation

Returns:

The Linear Permanent Evolution Parameters from a Deterministic Coordinated Variation Instance