Package org.drip.execution.optimum

Class EfficientTradingTrajectoryContinuous

java.lang.Object
org.drip.execution.strategy.ContinuousTradingTrajectory
org.drip.execution.optimum.EfficientTradingTrajectoryContinuous
All Implemented Interfaces:
EfficientTradingTrajectory, TradingTrajectory
Direct Known Subclasses:
PowerImpactContinuous
public class EfficientTradingTrajectoryContinuous
extends ContinuousTradingTrajectory
implements EfficientTradingTrajectory
EfficientTradingTrajectoryContinuous contains the Efficient Trading Trajectory generated by one of the Methods outlined in the Almgren (2003) Scheme for Continuous Trading Approximation. 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


Author:
Lakshmi Krishnamurthy

  • Constructor Details

    • EfficientTradingTrajectoryContinuous

      public EfficientTradingTrajectoryContinuous​(double dblExecutionTime, double dblTransactionCostExpectation, double dblTransactionCostVariance, double dblCharacteristicTime, double dblMarketPower, R1ToR1 r1ToR1Holdings, R1ToR1 r1ToR1TradeRate, R1ToR1 r1ToR1TransactionCostExpectation, R1ToR1 r1ToR1TransactionCostVariance) throws java.lang.Exception
      EfficientTradingTrajectoryContinuous Constructor
      Parameters:
      dblExecutionTime - The Execution Time
      dblTransactionCostExpectation - The Expected Transaction Cost
      dblTransactionCostVariance - The Variance of the Transaction Cost
      dblCharacteristicTime - The Optimal Trajectory's "Characteristic" Time
      dblMarketPower - The Dimension-less Relative Market Impact
      r1ToR1Holdings - The Optimal Trajectory R^1 To R^1 Holdings Function
      r1ToR1TradeRate - The Optimal Trajectory R^1 To R^1 Trade Rate Function
      r1ToR1TransactionCostExpectation - The Transaction Cost Expectation Function
      r1ToR1TransactionCostVariance - The Transaction Cost Variance Function
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

  • Method Details

    • marketPower

      public double marketPower()
      Description copied from interface: EfficientTradingTrajectory
      Retrieve the Intrinsic Market Power Parameter
      Specified by:
      marketPower in interface EfficientTradingTrajectory
      Returns:
      The Intrinsic Market Power Parameter

    • transactionCostExpectation

      public double transactionCostExpectation()
      Description copied from interface: EfficientTradingTrajectory
      Retrieve the Expected Transaction Cost
      Specified by:
      transactionCostExpectation in interface EfficientTradingTrajectory
      Returns:
      The Expected Transaction Cost

    • transactionCostVariance

      public double transactionCostVariance()
      Description copied from interface: EfficientTradingTrajectory
      Retrieve the Variance of the Expected Transaction Cost
      Specified by:
      transactionCostVariance in interface EfficientTradingTrajectory
      Returns:
      The Variance of the Expected Transaction Cost

    • characteristicTime

      public double characteristicTime()
      Retrieve the Optimal Trajectory Characteristic Time
      Returns:
      The Optimal Trajectory Characteristic Time

    • urgency

      public double urgency()
      Retrieve the Optimal Trajectory Urgency
      Returns:
      The Optimal Trajectory Urgency