Package org.drip.execution.impact

Class TransactionFunctionPower

java.lang.Object
org.drip.function.definition.R1ToR1
org.drip.execution.impact.TransactionFunction
org.drip.execution.impact.TransactionFunctionPower
Direct Known Subclasses:
ParticipationRatePower, PermanentImpactQuasiArbitrage, TemporaryImpact
public abstract class TransactionFunctionPower
extends TransactionFunction
TransactionFunctionPower exposes the Power Law Impact Function Stubs as defined in Almgren and Chriss (2000) and Almgren (2003). 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
  • Almgren, R., and N. Chriss (2003): Optimal Execution with Nonlinear Impact Functions and Trading- Enhanced Risk Applied Mathematical Finance 10 (1) 1-18
  • Almgren, R., and N. Chriss (2003): Bidding Principles Risk 97-102
  • Almgren, R., C. Thum, E. Hauptmann, and H. Li (2005): Equity Market Impact Risk 18 (7) 57-62


Author:
Lakshmi Krishnamurthy

  • Constructor Details

    • TransactionFunctionPower

      public TransactionFunctionPower()

  • Method Details

    • constant

      public abstract double constant()
      Retrieve the Constant Market Impact Parameter
      Returns:
      The Constant Market Impact Parameter

    • exponent

      public abstract double exponent()
      Retrieve the Power Law Exponent Market Impact Parameter
      Returns:
      The Power Law Exponent Market Impact Parameter