Package org.drip.execution.dynamics

Class WalkSuite

java.lang.Object

org.drip.execution.dynamics.WalkSuite

public class WalkSuite
extends java.lang.Object

WalkSuite holds the Walk Random Variables (e.g., Weiner Variates) that correspond to an Instance of Walk attributable to different Factor Contributions inside of a Slice Increment. 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
WalkSuite(double dblPrevious, double dblCurrent, double dblPermanentImpact, double dblTemporaryImpact)	WalkSuite Constructor

Method Summary

Modifier and Type	Method	Description
double	currentWanderer()	Retrieve the Current Instance of the Walk Wanderer
double	permanentImpactWanderer()	Retrieve the Previous Instance of the Permanent Impact Walk Wanderer
double	previousWanderer()	Retrieve the Previous Instance of the Walk Wanderer
double	temporaryImpactWanderer()	Retrieve the Previous Instance of the Temporary Impact Walk Wanderer

Methods inherited from class java.lang.Object

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

Constructor Details

WalkSuite

public WalkSuite(double dblPrevious,
double dblCurrent,
double dblPermanentImpact,
double dblTemporaryImpact)
          throws java.lang.Exception

WalkSuite Constructor

Parameters:

dblPrevious - The Previous Walk Realization

dblCurrent - The Current Walk Realization

dblPermanentImpact - The Permanent Impact Walk Realization

dblTemporaryImpact - The Temporary Impact Walk Realization

Throws:

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

Method Details

previousWanderer

public double previousWanderer()

Retrieve the Previous Instance of the Walk Wanderer

Returns:

The Previous Instance of the Walk Wanderer

currentWanderer

public double currentWanderer()

Retrieve the Current Instance of the Walk Wanderer

Returns:

The Current Instance of the Market Core Walk Wanderer

permanentImpactWanderer

public double permanentImpactWanderer()

Retrieve the Previous Instance of the Permanent Impact Walk Wanderer

Returns:

The Previous Instance of the Permanent Impact Walk Wanderer

temporaryImpactWanderer

public double temporaryImpactWanderer()

Retrieve the Previous Instance of the Temporary Impact Walk Wanderer

Returns:

The Previous Instance of the Temporary Impact Walk Wanderer