Package org.drip.execution.optimum

Class AlmgrenChrissDriftDiscrete

java.lang.Object

org.drip.execution.strategy.DiscreteTradingTrajectory

org.drip.execution.optimum.EfficientTradingTrajectoryDiscrete

org.drip.execution.optimum.AlmgrenChrissDiscrete

org.drip.execution.optimum.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

• 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
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)	AlmgrenChrissDriftDiscrete Constructor

Method Summary

Modifier and Type	Method	Description
double	driftGainUpperBound()	Retrieve the Gain Upper Bound induced by the Drift
double[]	holdingsDriftAdjustment()	Retrieve the Array of the Holdings Drift Adjustment
double	residualHolding()	Retrieve the Residual Holdings induced by the Drift
double[]	tradeListDriftAdjustment()	Retrieve the Array of the Trade List Drift Adjustment

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

halfLife, kappa, kappaTilda

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

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