Package org.drip.execution.impact

Market Impact Transaction Function Implementation
Author:
Lakshmi Krishnamurthy
  • Class Summary
    Class Description
    ParticipationRateLinear
    ParticipationRateLinear implements a Linear Temporary/Permanent Market Impact Function where the Price Change scales linearly with the Trade Rate, along with an Offset.
    ParticipationRatePower
    ParticipationRatePower implements a Power-Law Based Temporary/Permanent Market Impact Function where the Price Change scales as a Power of the Trade Rate.
    TransactionFunction
    TransactionFunction exports the Temporary/Permanent Market Impact Displacement/Volatility Functional Dependence on the Trade Rate.
    TransactionFunctionLinear
    TransactionFunctionLinear exposes the Linear Impact Function Stubs as defined in Almgren and Chriss (2000) and Almgren (2003).
    TransactionFunctionPower
    TransactionFunctionPower exposes the Power Law Impact Function Stubs as defined in Almgren and Chriss (2000) and Almgren (2003).