Class AlmgrenChrissDriftDiscrete

All Implemented Interfaces:
EfficientTradingTrajectory, TradingTrajectory

public class AlmgrenChrissDriftDiscrete
extends AlmgrenChrissDiscrete
AlmgrenChrissDriftDiscrete contains the Trading Trajectory generated by the Almgren and Chriss (2000) Scheme under the Criterion of Non-zero 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


Author:
Lakshmi Krishnamurthy
  • Constructor Details

    • AlmgrenChrissDriftDiscrete

      public AlmgrenChrissDriftDiscrete​(double[] adblExecutionTimeNode, double[] adblHoldings, double[] adblTradeList, double[] adblHoldingsDriftAdjustment, double[] adblTradeListDriftAdjustment, double dblKappaTilda, double dblKappa, double dblResidualHolding, double dblDriftGainUpperBound, double dblTransactionCostExpectation, double dblTransactionCostVariance, double dblMarketPower) throws java.lang.Exception
      AlmgrenChrissDriftDiscrete Constructor
      Parameters:
      adblExecutionTimeNode - Array containing the Trajectory Time Nodes
      adblHoldings - Array containing the Holdings
      adblTradeList - Array containing the Trade List
      adblHoldingsDriftAdjustment - Array containing the Holdings Drift Adjustment
      adblTradeListDriftAdjustment - Array containing the Trade List Drift Adjustment
      dblKappaTilda - AC2000 Kappa-Tilda
      dblKappa - AC2000 Kappa
      dblResidualHolding - The Residual Holdings induced by the Drift
      dblDriftGainUpperBound - The Upper Bound of the Gain induced by Drift
      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

    • holdingsDriftAdjustment

      public double[] holdingsDriftAdjustment()
      Retrieve the Array of the Holdings Drift Adjustment
      Returns:
      The Array of the Holdings Drift Adjustment
    • tradeListDriftAdjustment

      public double[] tradeListDriftAdjustment()
      Retrieve the Array of the Trade List Drift Adjustment
      Returns:
      The Array of the Trade List Drift Adjustment
    • residualHolding

      public double residualHolding()
      Retrieve the Residual Holdings induced by the Drift
      Returns:
      The Residual Holdings induced by the Drift
    • driftGainUpperBound

      public double driftGainUpperBound()
      Retrieve the Gain Upper Bound induced by the Drift
      Returns:
      The Gain Upper Bound induced by the Drift