Package org.drip.execution.dynamics

Class LinearPermanentExpectationParameters

java.lang.Object

org.drip.execution.dynamics.ArithmeticPriceEvolutionParameters

org.drip.execution.dynamics.LinearPermanentExpectationParameters

public class LinearPermanentExpectationParameters
extends ArithmeticPriceEvolutionParameters

LinearPermanentExpectationParameters implements a Permanent Market Impact Function where the Price Change scales linearly with the Trade Rate. 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
LinearPermanentExpectationParameters(ArithmeticPriceDynamicsSettings apds, BackgroundParticipationRateLinear bprlPermanentExpectation, BackgroundParticipationRate bprTemporaryExpectation)	LinearPermanentExpectationParameters Constructor

Method Summary

Modifier and Type	Method	Description
BackgroundParticipationRateLinear	linearPermanentExpectation()	Retrieve the Background Participation Linear Permanent Market Impact Expectation Function

Methods inherited from class org.drip.execution.dynamics.ArithmeticPriceEvolutionParameters

arithmeticPriceDynamicsSettings, permanentExpectation, permanentVolatility, temporaryExpectation, temporaryVolatility

Methods inherited from class java.lang.Object

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

Constructor Details

LinearPermanentExpectationParameters

public LinearPermanentExpectationParameters(ArithmeticPriceDynamicsSettings apds,
BackgroundParticipationRateLinear bprlPermanentExpectation,
BackgroundParticipationRate bprTemporaryExpectation)
                                     throws java.lang.Exception

LinearPermanentExpectationParameters Constructor

Parameters:

apds - The Asset Price Dynamics Settings

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

bprTemporaryExpectation - The Background Participation Rate Temporary Expectation Market Impact Function

Throws:

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

Method Details

linearPermanentExpectation

public BackgroundParticipationRateLinear linearPermanentExpectation()

Retrieve the Background Participation Linear Permanent Market Impact Expectation Function

Returns:

The Background Participation Linear Permanent Market Impact Expectation Function