Package org.drip.execution.evolution

Class MarketImpactComponent

java.lang.Object

org.drip.execution.evolution.MarketImpactComponent

Direct Known Subclasses:

MarketImpactComposite

public class MarketImpactComponent
extends java.lang.Object

MarketImpactComponent exposes the Evolution Increment Components of the Movements exhibited by an Asset's Manifest Measures owing to either Stochastic or Deterministic 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 = Execution Cost Market Impact Decomposition

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor	Description
MarketImpactComponent(double dblCurrentStep, double dblPreviousStep, double dblPermanentImpact, double dblTemporaryImpact)	MarketImpactComponent Constructor

Method Summary

Modifier and Type	Method	Description
double	currentStep()	Retrieve the Current Step Contribution
double	permanentImpact()	Retrieve the Permanent Market Impact Contribution
double	previousStep()	Retrieve the Previous Step Contribution
double	temporaryImpact()	Retrieve the Temporary Market Impact Contribution
double	total()	Retrieve the Total Component Impact

Methods inherited from class java.lang.Object

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

Constructor Details

MarketImpactComponent

public MarketImpactComponent(double dblCurrentStep,
double dblPreviousStep,
double dblPermanentImpact,
double dblTemporaryImpact)
                      throws java.lang.Exception

MarketImpactComponent Constructor

Parameters:

dblCurrentStep - The Current Step Volatility Component Contribution

dblPreviousStep - The Previous Step Volatility Component Contribution

dblPermanentImpact - The Permanent Market Impact Contribution

dblTemporaryImpact - The Temporary Market Impact Contribution

Throws:

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

Method Details

previousStep

public double previousStep()

Retrieve the Previous Step Contribution

Returns:

The Previous Step Contribution

currentStep

public double currentStep()

Retrieve the Current Step Contribution

Returns:

The Current Step Contribution

permanentImpact

public double permanentImpact()

Retrieve the Permanent Market Impact Contribution

Returns:

The Permanent Market Impact Contribution

temporaryImpact

public double temporaryImpact()

Retrieve the Temporary Market Impact Contribution

Returns:

The Temporary Market Impact Contribution

total

public double total()

Retrieve the Total Component Impact

Returns:

The Total Component Impact