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

• 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
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 Parameter
static EfficientTradingTrajectoryDiscrete	Standard(double[] adblExecutionTimeNode, double[] adblHoldings, ArithmeticPriceEvolutionParameters apep)	Construct a Standard EfficientTradingTrajectoryDiscrete Instance
double	transactionCostExpectation()	Retrieve the Expected Transaction Cost
double	transactionCostVariance()	Retrieve the Variance of the Expected Transaction Cost

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

EfficientTradingTrajectoryDiscrete

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

EfficientTradingTrajectoryDiscrete Constructor

Parameters:

adblExecutionTimeNode - Array containing the Trajectory Time Nodes

adblHoldings - Array containing the Holdings

adblTradeList - Array containing the Trade List

dblTransactionCostExpectation - The Expected Transaction Cost

dblTransactionCostVariance - The Variance of the Transaction Cost

dblMarketPower - The Dimension-less Relative Market Impact

Throws:

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

Method Details

Standard

public static EfficientTradingTrajectoryDiscrete Standard(double[] adblExecutionTimeNode,
double[] adblHoldings,
ArithmeticPriceEvolutionParameters apep)

Construct a Standard EfficientTradingTrajectoryDiscrete Instance

Parameters:

adblExecutionTimeNode - Array containing the Trajectory Time Nodes

adblHoldings - Array containing the Holdings

apep - The Arithmetic Price Walk Evolution Parameters

Returns:

The EfficientTradingTrajectoryDiscrete Instance

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