Package org.drip.execution.parameters

Class ArithmeticPriceDynamicsSettings

java.lang.Object

org.drip.execution.parameters.ArithmeticPriceDynamicsSettings

public class ArithmeticPriceDynamicsSettings
extends java.lang.Object

ArithmeticPriceDynamicsSettings contains the Arithmetic Price Evolution Dynamics Parameters used in the Almgren and Chriss (2000) Optimal Trajectory Generation Scheme. 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 = Empirical Market Impact Coefficients Calibration

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor	Description
ArithmeticPriceDynamicsSettings(double dblDrift, R1ToR1 r1ToR1Volatility, double dblSerialCorrelation)	ArithmeticPriceDynamicsSettings Constructor

Method Summary

Modifier and Type	Method	Description
double	drift()	Retrieve the Asset Annual Logarithmic Drift
double	epochVolatility()	Retrieve the Asset Annual Volatility
static ArithmeticPriceDynamicsSettings	FromAnnualReturnsSettings(double dblAnnualReturnsExpectation, double dblAnnualReturnsVolatility, double dblSerialCorrelation, double dblPrice)	Construct the Asset Dynamics Settings from the Annual Returns Parameters
double	serialCorrelation()	Retrieve the Asset Serial Correlation
R1ToR1	volatilityFunction()	Retrieve the Asset Annual Volatility Function

Methods inherited from class java.lang.Object

equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Details

ArithmeticPriceDynamicsSettings

public ArithmeticPriceDynamicsSettings(double dblDrift,
R1ToR1 r1ToR1Volatility,
double dblSerialCorrelation)
                                throws java.lang.Exception

ArithmeticPriceDynamicsSettings Constructor

Parameters:

dblDrift - The Asset Daily Arithmetic Drift

r1ToR1Volatility - The R^1 To R^1 Volatility Function

dblSerialCorrelation - The Asset Serial Correlation

Throws:

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

Method Details

FromAnnualReturnsSettings

public static final ArithmeticPriceDynamicsSettings FromAnnualReturnsSettings(double dblAnnualReturnsExpectation,
double dblAnnualReturnsVolatility,
double dblSerialCorrelation,
double dblPrice)

Construct the Asset Dynamics Settings from the Annual Returns Parameters

Parameters:

dblAnnualReturnsExpectation - The Asset Annual Expected Returns

dblAnnualReturnsVolatility - The Asset Annual Returns Volatility

dblSerialCorrelation - The Asset Serial Correlation

dblPrice - The Asset Price

Returns:

The Asset Dynamics Settings from the Annual Returns Parameters

drift

public double drift()

Retrieve the Asset Annual Logarithmic Drift

Returns:

The Asset Annual Logarithmic Drift

epochVolatility

public double epochVolatility()
                       throws java.lang.Exception

Retrieve the Asset Annual Volatility

Returns:

The Asset Annual Volatility

Throws:

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

volatilityFunction

public R1ToR1 volatilityFunction()

Retrieve the Asset Annual Volatility Function

Returns:

The Asset Annual Volatility Function

serialCorrelation

public double serialCorrelation()

Retrieve the Asset Serial Correlation

Returns:

The Asset Serial Correlation