Package org.drip.execution.parameters

Class PriceMarketImpact

java.lang.Object

org.drip.execution.parameters.PriceMarketImpact

Direct Known Subclasses:

PriceMarketImpactLinear, PriceMarketImpactPower

public abstract class PriceMarketImpact
extends java.lang.Object

PriceMarketImpact contains the Price Market Impact Inputs used in the Construction of the Impact Parameters for 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

Method Summary

Modifier and Type	Method	Description
AssetTransactionSettings	ats()	Retrieve the AssetTransactionSettings Instance
double	permanentImpactFactor()	Retrieve the Fraction of the Daily Volume that triggers One Bid-Ask of Permanent Impact Cost
abstract TransactionFunction	permanentTransactionFunction()	Generate the Permanent Impact Transaction Function
double	temporaryImpactFactor()	Retrieve the Fraction of the Daily Volume that triggers One Bid-Ask of Temporary Impact Cost
abstract TransactionFunction	temporaryTransactionFunction()	Generate the Temporary Impact Transaction Function

Methods inherited from class java.lang.Object

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

Method Details

ats

public AssetTransactionSettings ats()

Retrieve the AssetTransactionSettings Instance

Returns:

The AssetTransactionSettings Instance

permanentImpactFactor

public double permanentImpactFactor()

Retrieve the Fraction of the Daily Volume that triggers One Bid-Ask of Permanent Impact Cost

Returns:

The Fraction of the Daily Volume that triggers One Bid-Ask of Permanent Impact Cost

temporaryImpactFactor

public double temporaryImpactFactor()

Retrieve the Fraction of the Daily Volume that triggers One Bid-Ask of Temporary Impact Cost

Returns:

The Fraction of the Daily Volume that triggers One Bid-Ask of Temporary Impact Cost

permanentTransactionFunction

public abstract TransactionFunction permanentTransactionFunction()

Generate the Permanent Impact Transaction Function

Returns:

The Permanent Impact Transaction Function

temporaryTransactionFunction

public abstract TransactionFunction temporaryTransactionFunction()

Generate the Temporary Impact Transaction Function

Returns:

The Temporary Impact Transaction Function