Package org.drip.execution.optimum
Class EfficientTradingTrajectoryDiscrete
java.lang.Object
org.drip.execution.strategy.DiscreteTradingTrajectory
org.drip.execution.optimum.EfficientTradingTrajectoryDiscrete
- All Implemented Interfaces:
EfficientTradingTrajectory
,TradingTrajectory
- Direct Known Subclasses:
AlmgrenChrissDiscrete
,TradingEnhancedDiscrete
public class EfficientTradingTrajectoryDiscrete extends DiscreteTradingTrajectory implements EfficientTradingTrajectory
EfficientTradingTrajectoryDiscrete contains the Discrete Trading Trajectory generated by a given
Optimal Trajectory Generation Scheme. Schemes may be Numerical or Closed Form. 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
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Constructor Summary
Constructors Constructor Description EfficientTradingTrajectoryDiscrete(double[] adblExecutionTimeNode, double[] adblHoldings, double[] adblTradeList, double dblTransactionCostExpectation, double dblTransactionCostVariance, double dblMarketPower)
EfficientTradingTrajectoryDiscrete Constructor -
Method Summary
Modifier and Type Method Description double
marketPower()
Retrieve the Intrinsic Market Power Parameterstatic EfficientTradingTrajectoryDiscrete
Standard(double[] adblExecutionTimeNode, double[] adblHoldings, ArithmeticPriceEvolutionParameters apep)
Construct a Standard EfficientTradingTrajectoryDiscrete Instancedouble
transactionCostExpectation()
Retrieve the Expected Transaction Costdouble
transactionCostVariance()
Retrieve the Variance of the Expected Transaction CostMethods 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
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Constructor Details
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EfficientTradingTrajectoryDiscrete
public EfficientTradingTrajectoryDiscrete(double[] adblExecutionTimeNode, double[] adblHoldings, double[] adblTradeList, double dblTransactionCostExpectation, double dblTransactionCostVariance, double dblMarketPower) throws java.lang.ExceptionEfficientTradingTrajectoryDiscrete Constructor- Parameters:
adblExecutionTimeNode
- Array containing the Trajectory Time NodesadblHoldings
- Array containing the HoldingsadblTradeList
- Array containing the Trade ListdblTransactionCostExpectation
- The Expected Transaction CostdblTransactionCostVariance
- The Variance of the Transaction CostdblMarketPower
- The Dimension-less Relative Market Impact- Throws:
java.lang.Exception
- Thrown if the Inputs are Invalid
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Method Details
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Standard
public static EfficientTradingTrajectoryDiscrete Standard(double[] adblExecutionTimeNode, double[] adblHoldings, ArithmeticPriceEvolutionParameters apep)Construct a Standard EfficientTradingTrajectoryDiscrete Instance- Parameters:
adblExecutionTimeNode
- Array containing the Trajectory Time NodesadblHoldings
- Array containing the Holdingsapep
- The Arithmetic Price Walk Evolution Parameters- Returns:
- The EfficientTradingTrajectoryDiscrete Instance
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marketPower
public double marketPower()Description copied from interface:EfficientTradingTrajectory
Retrieve the Intrinsic Market Power Parameter- Specified by:
marketPower
in interfaceEfficientTradingTrajectory
- Returns:
- The Intrinsic Market Power Parameter
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transactionCostExpectation
public double transactionCostExpectation()Description copied from interface:EfficientTradingTrajectory
Retrieve the Expected Transaction Cost- Specified by:
transactionCostExpectation
in interfaceEfficientTradingTrajectory
- Returns:
- The Expected Transaction Cost
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transactionCostVariance
public double transactionCostVariance()Description copied from interface:EfficientTradingTrajectory
Retrieve the Variance of the Expected Transaction Cost- Specified by:
transactionCostVariance
in interfaceEfficientTradingTrajectory
- Returns:
- The Variance of the Expected Transaction Cost
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