Package org.drip.execution.nonadaptive

Class ContinuousPowerImpact

java.lang.Object

org.drip.execution.nonadaptive.StaticOptimalScheme

org.drip.execution.nonadaptive.StaticOptimalSchemeContinuous

org.drip.execution.nonadaptive.ContinuousPowerImpact

public class ContinuousPowerImpact
extends StaticOptimalSchemeContinuous

ContinuousPowerImpact contains the Temporary Impact Power Law Trading Trajectory generated by the Almgren and Chriss (2003) Scheme under the Criterion of No-Drift. The References are:

• Almgren, R., and N. Chriss (1999): Value under Liquidation Risk 12 (12)
• Almgren, R. F., and N. Chriss (2000): Optimal Execution of Portfolio Transactions Journal of Risk 3 (2) 5-39
• Almgren, R. (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
• Bertsimas, D., and A. W. Lo (1998): Optimal Control of Execution Costs Journal of Financial Markets 1 1-50

• Module = Product Core Module
• Library = Transaction Cost Analytics
• Project = Optimal Impact/Capture Based Trading Trajectories - Deterministic, Stochastic, Static, and Dynamic
• Package = Almgren-Chriss Static Optimal Trajectory

Author:

Lakshmi Krishnamurthy

Method Summary

Modifier and Type	Method	Description
EfficientTradingTrajectory	generate()	Invoke the Optimizer, and generate/return the Optimal Trading Trajectory Instance
static ContinuousPowerImpact	Standard(double dblStartHoldings, double dblFinishTime, LinearPermanentExpectationParameters lpep, double dblRiskAversion)	Create the Standard ContinuousPowerImpact Instance

Methods inherited from class org.drip.execution.nonadaptive.StaticOptimalSchemeContinuous

orderSpecification

Methods inherited from class org.drip.execution.nonadaptive.StaticOptimalScheme

objectiveUtility, priceEvolutionParameters

Methods inherited from class java.lang.Object

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

Method Details

Standard

public static final ContinuousPowerImpact Standard(double dblStartHoldings,
double dblFinishTime,
LinearPermanentExpectationParameters lpep,
double dblRiskAversion)

Create the Standard ContinuousPowerImpact Instance

Parameters:

dblStartHoldings - Trajectory Start Holdings

dblFinishTime - Trajectory Finish Time

lpep - Almgren 2003 Linear Permanent Expectation Market Impact Parameters

dblRiskAversion - The Risk Aversion Parameter

Returns:

The ContinuousPowerImpact Instance

generate

public EfficientTradingTrajectory generate()

Description copied from class: StaticOptimalScheme

Invoke the Optimizer, and generate/return the Optimal Trading Trajectory Instance

Specified by:

generate in class StaticOptimalScheme

Returns:

The Optimal Trading Trajectory Instance