Package org.drip.execution.optimum

Class AlmgrenChrissDiscrete

java.lang.Object

org.drip.execution.strategy.DiscreteTradingTrajectory

org.drip.execution.optimum.EfficientTradingTrajectoryDiscrete

org.drip.execution.optimum.AlmgrenChrissDiscrete

All Implemented Interfaces:

EfficientTradingTrajectory, TradingTrajectory

Direct Known Subclasses:

AlmgrenChrissDriftDiscrete

public class AlmgrenChrissDiscrete
extends EfficientTradingTrajectoryDiscrete

AlmgrenChrissDiscrete contains the Trading Trajectory generated by the Almgren and Chriss (2000) Scheme under the Criterion of No-Drift. 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 = Almgren-Chriss Efficient Trading Trajectories

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor	Description
AlmgrenChrissDiscrete(double[] adblExecutionTimeNode, double[] adblHoldings, double[] adblTradeList, double dblKappaTilda, double dblKappa, double dblTransactionCostExpectation, double dblTransactionCostVariance, double dblMarketPower)	AlmgrenChrissDiscrete Constructor

Method Summary

Modifier and Type	Method	Description
double	halfLife()	Retrieve the Half-Life
double	kappa()	Retrieve the Kappa
double	kappaTilda()	Retrieve the Kappa Tilda

Methods inherited from class org.drip.execution.optimum.EfficientTradingTrajectoryDiscrete

marketPower, Standard, transactionCostExpectation, transactionCostVariance

Methods inherited from class org.drip.execution.strategy.DiscreteTradingTrajectory

executedBlockSize, executionTime, executionTimeNode, holdings, innerHoldings, instantTradeRate, Linear, numberOfTrades, Standard, tradeList, tradeSize

Methods inherited from class java.lang.Object

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

Methods inherited from interface org.drip.execution.strategy.TradingTrajectory

executedBlockSize, executionTime, instantTradeRate, tradeSize

Constructor Details

AlmgrenChrissDiscrete

public AlmgrenChrissDiscrete(double[] adblExecutionTimeNode,
double[] adblHoldings,
double[] adblTradeList,
double dblKappaTilda,
double dblKappa,
double dblTransactionCostExpectation,
double dblTransactionCostVariance,
double dblMarketPower)
                      throws java.lang.Exception

AlmgrenChrissDiscrete Constructor

Parameters:

adblExecutionTimeNode - Array containing the Trajectory Time Nodes

adblHoldings - Array containing the Holdings

adblTradeList - Array containing the Trade List

dblKappaTilda - AC2000 Kappa-Tilda

dblKappa - AC2000 Kappa

dblTransactionCostExpectation - The Expected Transaction Cost

dblTransactionCostVariance - The Variance of the Transaction Cost

dblMarketPower - Estimate of the Relative Market Impact Power

Throws:

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

Method Details

kappaTilda

public double kappaTilda()

Retrieve the Kappa Tilda

Returns:

The Kappa Tilda

kappa

public double kappa()

Retrieve the Kappa

Returns:

The Kappa

halfLife

public double halfLife()

Retrieve the Half-Life

Returns:

The Half-Life