Package org.drip.execution.optimum

Class TradingEnhancedDiscrete

java.lang.Object

org.drip.execution.strategy.DiscreteTradingTrajectory

org.drip.execution.optimum.EfficientTradingTrajectoryDiscrete

org.drip.execution.optimum.TradingEnhancedDiscrete

All Implemented Interfaces:

EfficientTradingTrajectory, TradingTrajectory

public class TradingEnhancedDiscrete
extends EfficientTradingTrajectoryDiscrete

TradingEnhancedDiscrete contains the Trading Trajectory generated by one of the Methods outlined in the Almgren (2003) Scheme for Continuous Trading Approximation for Linear Trading Enhanced Temporary Impact Volatility. 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
TradingEnhancedDiscrete(double[] adblExecutionTimeNode, double[] adblHoldings, double[] adblTradeList, double dblTransactionCostExpectation, double dblTransactionCostVariance, double dblCharacteristicTime, double dblCharacteristicSize, double dblMarketPower)	TradingEnhancedDiscrete Constructor

Method Summary

Modifier and Type	Method	Description
double	characteristicSize()	Retrieve the Optimal Trajectory Characteristic Size
double	characteristicTime()	Retrieve the Optimal Trajectory Characteristic Time
static TradingEnhancedDiscrete	Standard(DiscreteTradingTrajectory dtt, ArithmeticPriceEvolutionParameters apep, double dblCharacteristicTime, double dblCharacteristicSize)	Construct a Standard TradingEnhancedDiscrete Instance

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

TradingEnhancedDiscrete

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

TradingEnhancedDiscrete 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

dblCharacteristicTime - The Optimal Trajectory's "Characteristic" Time

dblCharacteristicSize - The Optimal Trajectory's "Characteristic" Size

dblMarketPower - Estimate of the Relative Market Impact Power

Throws:

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

Method Details

Standard

public static TradingEnhancedDiscrete Standard(DiscreteTradingTrajectory dtt,
ArithmeticPriceEvolutionParameters apep,
double dblCharacteristicTime,
double dblCharacteristicSize)

Construct a Standard TradingEnhancedDiscrete Instance

Parameters:

dtt - The Trading Trajectory

apep - The Arithmetic Price Walk Evolution Parameters

dblCharacteristicTime - The Optimal Trajectory's "Characteristic" Time

dblCharacteristicSize - The Optimal Trajectory's "Characteristic" Size

Returns:

The TradingEnhancedDiscrete Instance

characteristicSize

public double characteristicSize()

Retrieve the Optimal Trajectory Characteristic Size

Returns:

The Optimal Trajectory Characteristic Size

characteristicTime

public double characteristicTime()

Retrieve the Optimal Trajectory Characteristic Time

Returns:

The Optimal Trajectory Characteristic Time