Package org.drip.execution.evolution

Class MarketImpactComposite

java.lang.Object

org.drip.execution.evolution.MarketImpactComponent

org.drip.execution.evolution.MarketImpactComposite

Direct Known Subclasses:

EvolutionIncrement

public class MarketImpactComposite
extends MarketImpactComponent

MarketImpactComposite contains the Composite Evolution Increment Components of the Movements exhibited by an Asset's Manifest Measures owing to the Stochastic and the 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

Method Summary

Modifier and Type	Method	Description
MarketImpactComponent	deterministic()	Retrieve the Deterministic Impact Component Instance
static MarketImpactComposite	Standard(MarketImpactComponent micDeterministic, MarketImpactComponent micStochastic)	Construct a Standard Instance of MarketImpactComposite
MarketImpactComponent	stochastic()	Retrieve the Stochastic Impact Component Instance

Methods inherited from class org.drip.execution.evolution.MarketImpactComponent

currentStep, permanentImpact, previousStep, temporaryImpact, total

Methods inherited from class java.lang.Object

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

Method Details

Standard

public static final MarketImpactComposite Standard(MarketImpactComponent micDeterministic,
MarketImpactComponent micStochastic)

Construct a Standard Instance of MarketImpactComposite

Parameters:

micDeterministic - The Deterministic Market Impact Component Instance

micStochastic - The Stochastic Market Impact Component Instance

Returns:

The Standard Instance of MarketImpactComposite

deterministic

public MarketImpactComponent deterministic()

Retrieve the Deterministic Impact Component Instance

Returns:

The Deterministic Impact Component Instance

stochastic

public MarketImpactComponent stochastic()

Retrieve the Stochastic Impact Component Instance

Returns:

The Stochastic Impact Component Instance